許耀文臺灣大學：國際企業學研究所周育任Chou, Yu-JenYu-JenChou2007-11-282018-06-292007-11-282018-06-292006http://ntur.lib.ntu.edu.tw//handle/246246/60239Liquidity measures, such as bid-ask spread, have always influenced the required return of a security significantly. Since the investment objective of REIT is mostly related to real estates, the REITs market, in particular, stresses the importance of asset liquidity even more. This study tries to investigate whether liquidity factor is an important variable when pricing the REIT stocks. The research result should hopefully serve to improve the understanding of REIT market and encourage its future development.1.Introduction p3 2.Methodology p6 2.1 Description of Data p7 2.2 Liquidity Measures p9 2.2.1 bid-ask spread p10 2.2.2 turnover ratio p11 2.2.3 sensitivity of daily return to trading volume p11 2.3 Liquidity Adjusted CAPM p12 3.Empirical Findings p15 3.1 Liquidity Risk p15 3.2 Impact of Liquidity Risk p24 4.Conclusion p28 5.Reference p30en-US流動性風險預期報酬Liquidity RiskExpected Returnthesis