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題名：多角化與財務績效之關聯性:以美國不動產投資信託產業為例
作者：王錦玉
作者(外文)：Chin-Yu Wang
校院名稱：國立中山大學
系所名稱：財務管理學系研究所
指導教授：陳明吉
徐守德
學位類別：博士
出版日期：2013
主題關鍵詞：不動產投資信託產業；多角化；現金存量；代理問題；財務績效；REITs；Diversification；Cash Holdings；Agency Problem；Financial Performance
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本論文針對美國不動產投資信託產業探討多角化策略、現金管理與財務績效之關聯性。論文分為兩個主題。第一個主題主要探討權益型不動產投資信託公司(REITs)從事非租金收入的活動是否影響會計報酬的表現。利用系統性動差估計方法針對111家權益型不動產投資信託公司進行動態追蹤資料的實證分析，研究期間為1990年至2010年。研究結果發現REIT公司透過非租金收入提高多角化指標的行為，會同時增加資產報酬率與盈餘波動度；多角化指標的提高，會對調整後資產報酬率產生顯著的負面影響。進一步考量REIT公司從事不動產種類與地理分布的多角化行為對於會計報酬的影響，實證結果顯示REIT公司多角化收入活動的行為，會增加公司的償債風險並降低財務的健全度。當REIT公司擁有多樣種類的不動產且進行經營區域多角化時，公司的調整後會計報酬與財務健全性會得以改善。本章節以收入結構、不動產種類及地理位置的面向，探討不動產投資信託公司從事多角化策略對會計績效的影響，結果顯示公司經營較多的非租金收入活動，對會計績效具有不利的影響，透過全球性且多樣化的不動產的經營，可以改善公司的會計報酬與財務健全度。
第二個主題主要探討不動產投資信託公司的現金偏離程度如何影響未來的股票報酬。首先分析不動產投資信託公司的現金估計主要影響因子，並利用現金實際值與預期值的差異估計現金偏離程度。本研究引入多角化因子，透過收入結構與地理多角化區分樣本進行現金模型的估計，並利用不同的現金偏離程度，以進一步檢驗現金偏離程度的大小對未來股票報酬的影響。實證結果顯示REIT經理人會傾向減少現金的持有量以降低潛在的代理問題；當公司未來的投資機會越高時，經理人會估計較多的現金存量；外部資金取得的難易度會影響現金持有量的高低。當公司透過非租金收入來增加多角化指標，會增高現金存量的估計。進一步的實證分析指出現金偏離程度，會影響未來股票報酬。過多或不足的現金存量會降低未來的報酬表現。對於從事全球化不動產投資的REIT公司，現金偏離程度越大，公司持有太多現金，對未來報酬具有顯著的負向影響。REIT經理人在不同的多角化策略下，針對未來投資機會與外部資金成本，決定現金存量的水準。現金過多的狀況，會增加代理問題的可能性，進而降低未來的報酬表現。
This dissertation examines two topics regarding the linkage among diversification measures, determinants of cash holdings, and financial performance of equity U.S. real estate investment trusts (REITs). In Chapter 2, I primarily investigate the impact of diversification on performance based on annual accounting data in the REIT industry over the period from 1990 to 2010. The results obtained by applying dynamic GMM techniques show that the diversification of revenue streams may both increase earnings deviations and increase the return on average assets. Therefore, a more diversified income structure may be significantly and negatively related to returns per unit of risk. Regarding the property diversity and geographic diversification, REIT firms who operate their properties internationally would increase their financial stability. Geographic diversification would improve the risk-adjusted return and insolvency risk, especially for REIT firms that hold more non-rental revenue activities. Overall, holding properties abroad would provide REIT firms with a novel and effective way to improve financial performance.
In Chapter 3, I mainly examine how deviations from the expected level of cash holdings affect future stock returns in the U.S. REIT industry. I first analyze the determinants of cash holding by taking different diversification measures into consideration. Further, I estimate deviations from expected cash holdings and investigate whether such deviations worsened the future returns for 111 equity REIT firms during the period from 1990 to 2010. The findings indicate that REIT managers elect to hold less cash to reduce agency problems of free cash flow. Growth opportunity would lead managers to retain more cash on hand, while availability of access to capital markets would reduce the retaining level of cash. However, diversification of revenue streams via non-rental activities might increase the uncertainty of revenue generation and therefore increase the level of cash holdings. Regarding the relationship between deviations and future returns, REIT managers who hold cash in amounts that deviate from the expected level would experience lower stock returns, and holding too much cash on hand might be detrimental to future return performance. Overall, REIT managers determine their cash policies based on future growth opportunities and the external costs of capital, even controlling the impact of diversification on cash holdings. For REIT firms with geographic diversity, holding excess cash would increase the possibility of agency conflict, consequently worsening the firms’ future performance.
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