林煜宗廖咸興臺灣大學：張銘琇Chang, Ming-ShiowMing-ShiowChang2007-11-282018-07-092007-11-282018-07-092006http://ntur.lib.ntu.edu.tw//handle/246246/60723本文主要在探討清償風險(solvency risk)對不動產投資信託報酬之影響。我們發現個別不動產投資信託的清償風險對不動產投資信託報酬無法加以解釋。同時，我們也發現即使在市場報酬及HML存在下，市場清償狀態變數(market-wide solvency state variable)亦對不動產投資信託報酬有顯著影響力。然而，當我們結合SMB時，市場清償狀態變數變得不顯著。這意味著市場清償風險已經涵蓋在SMB之中。This research examines the relationship between solvency risk and the REIT returns. We find that the individual REIT’s solvency risk can not explain the REIT returns. We also find that a solvency state variable explains the REIT returns significantly even at the presence of the market and the book to market (HML) state variables. However, this market-wide solvency state variable becomes insignificant when the size factor (SMB factor) is combined. It implies that market-wide solvency risk is incorporated into the size factor.誌謝 i 摘要 ii Abstract iii Ⅰ. Introduction 1 Ⅱ. Literature Review 3 Ⅲ. Data 6 A. Data Source 6 B. Variables 6 Ⅳ. Methodology 10 A. Individual REIT’s Solvency Risk Variable 10 B. Solvency State Variable 12 Ⅴ. Empirical Results 15 A. Result of Individual REIT’s Solvency Risk 26 B. Results of the Solvency State Variable 30 Ⅵ. Conclusion 35 References 36289845 bytesapplication/pdfen-US清償風險不動產投資信託solvency riskREITthesishttp://ntur.lib.ntu.edu.tw/bitstream/246246/60723/1/ntu-95-R93723054-1.pdf