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題名:臺灣營建類股投資績效之長期檢視--直接與間接不動產投資比較分析
書刊名:管理研究學報
作者:陳明吉 引用關係郭照榮 引用關係
作者(外文):Chen, Ming-chiKuo, Chau-jung
出版日期:2004
卷期:4:2
頁次:頁144-168
主題關鍵詞:營建類股不動產投資績效評估Property stockProperty investmentPerformance analysis
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(2) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:2
  • 共同引用共同引用:0
  • 點閱點閱:12
由於理論上建議不動產直接(實體資產)與間接(不動產證券或股票)投票報酬上在不應該有顯著差異,但實體資產投資的流動性差與資訊不流通,價格不易反映出其真實價值,而在轉變成金融性資產後,由於公開的交易,真實價格卻能很快反映,因此實際上兩者在短期內換投資可能對力不同的表,但長期則仍應具有某種程度的均衡關係。因此本研究藉由對國內營建業上市公司(間接投資)投資績效之長期表現,分析國內不動產直托與間疾投資之關聯性。研究結果發,營建類股投資報酬略優於不動產直接受次報酬,但營建類股投資績效缺乏一致性;另外營建類股投資績效表並未貼近於不動產市場,與股票市場較為有關;但長期而言,我們得到直接與間接投資兩者間有長期均衡關係之證據。
Theory suggests that investment in property stocks is often regarded as a proxy for direct investment in property. Due to illiquidity, private transaction and slow information flow, property price is not usually able to be reflected by its real value. However, after the securitization, because property securities are transacted in the open market, we can expect the price can be quickly reflected by its real value. It seems that property prices and property stocks could deviate in the short-run, but, in the long-run, should have long-run equilibrium relationship. Consequently, this paper examines the relationship between direct and indirect investment of the property by analyzing the long-term performance of property stocks. Our results suggest that property stocks performed slightly better than property direct investment but lack of consistency of investment of performance. The behavior of property stocks is closer to the stock market but not the property market. Finally, we found the evidence of long-term relationship between property direct and indirect investment.
期刊論文
1.Ong, Seow Eng(1995)。Singapore Real Estate and Property Stocks--A Co-integration Test。Journal of Property Research,12,29-39。  new window
2.Chan, S. L.、Sng, G. N.(1991)。Real Estate versus Property Stock Investment。Securities Industry Reviews,17(2),9-15。  new window
3.Goebel, P. R.、Kim, K. S.(1989)。Performance evaluation of finite-life real estate investment trusts。Journal of Real Estate Research,4(2),57-69。  new window
4.Venmore-Rowland, P.(1989)。Direct property and property share。Journal of Valuation,8,272-289。  new window
5.Han, J.、Liang, Y.(1995)。The historical performance of real estate investment trusts。Journal of Real Estate Research,10(3),235-262。  new window
6.Titman, S.、Warga, A.(1986)。Risk and the performance of real estate investment trusts: a multiple index approach。AREUEA,4(3),414-431。  new window
7.Treynor, J.(196501)。How to rate management of mutual funds。Harvard Business Review,43,63-75。  new window
8.Liow, Kim Hiang(1997)。The Historical Performance of Singapore Property Stocks。Journal of Property Finance,8(2),111-125。  new window
9.Liu, C. H.、Grisson, T. V.、Hartzell, D. J.(1990)。The Impact of Market Imperfections on Real Estate Returns and Optimal Investment Portfolio。Journal of Real Estate Finance and Economics,3,261-282。  new window
10.Martin, J. D.、Cook, D. O.(1991)。A Comparison of the Recent Performance of Publicly Traded Real Property Portfolios and Common Stock。Journal of the American Real Estate and urban Economics Association,19(2),182-212。  new window
11.Ross, S. A.、Zisler, R. C.(1990)。Risk and Return in Real Estate。Journal of Real Estate Finance and Economics,4(2),175-190。  new window
12.Ong, Seow Eng(1994)。Structural and vector autoregressive approach to modelling real estate and property stocks in Singapore。Journal of property Finance,7(4),61-74。  new window
13.Ambrose, B.、Ancel, E.、Griffiths, M.(1992)。The Fractal Structure of Real Estate Investment Trust Returns: The Search for Evidence of Market Segmentation and Nonlinear Dependency。Journal of the American Real Estate and Urban Economics Association,20(1),25-54。  new window
14.Giliberto, S. M.(1990)。Equity real estate investment trusts and real estate returns。Journal of Real Estate Research,5(2),259-263。  new window
15.Gyourko, J.、Linneman, P.(1988)。Owner-occupied homes, income-producing properties and REITs as inflation hedge: empirical finding。Journal of Real Estate Finance and Economics,1(4),347-372。  new window
16.Johansen, S.(1991)。Estimation and Hypothesis Testing of Cointegrating Vectors in Gaussian Vector Autoregressive Model。Econometrica,59(6),1551-1580。  new window
17.Schwarz, Gideon(1978)。Estimating the Dimension of a model。The Annals of Statistics,6(2),461-464。  new window
18.Sharpe, William F.(1966)。Mutual fund performance。Journal of Business,39(1),119-138。  new window
19.Johansen, Søren(1988)。Statistical Analysis of Cointegration Vectors。Journal of Economic Dynamics and Control,12(2/3),231-254。  new window
20.Johansen, Søren、Juselius, Katarina(1990)。Maximum Likelihood Estimation and Inference on Cointegration: with Applications to the Demand for Money。Oxford Bulletin of Economics and Statistics,52(2),169-210。  new window
21.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。  new window
22.Jensen, Michael C.(1968)。The performance of mutual funds in the period 1945-1964。Journal of Finance,23(2),389-416。  new window
23.Dickey, David A.、Fuller, Wayne A.(1979)。Distribution of the Estimators for Autoregressive Time Series With a Unit Root。Journal of the American Statistical Association,74(366),427-431。  new window
24.Phillips, Peter C. B.、Perron, Pierre(1988)。Testing for a unit root in time series regression。Biometrika,75(2),335-346。  new window
25.Said, S. E.、Dickey, David A.(1984)。Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order。Biometrika,71(3),599-607。  new window
會議論文
1.陳明吉、廖茂成(2001)。資產市場關聯性下的財富效果--台灣股票市場與不動產市場之分析。第二屆(2001年)地政學術研討會。  延伸查詢new window
2.Lau, L.C. and Damon, T.(1990)。Property Units and Equities: a comparative Examination。Inter-Faculty Conference。National University of Singapore。  new window
研究報告
1.Gyourko, J.、Keim, D.(1990)。The risk and return characteristics pf Stock market-based real estate index。Philadelphia, PA:Wharton Real Estate Centre, University of Pennsylvania。  new window
2.張金鶚(1999)。住宅資訊系統之整合與規劃研究。國立政治大學台灣房地產研究中心。  延伸查詢new window
學位論文
1.江明宜(1997)。營建類股價及其影響因素波動關係之研究--誤差修正模型之應用(碩士論文)。國立政治大學。  延伸查詢new window
2.宋洋東(1997)。營建業股價指數走勢預測之研究(碩士論文)。國立政治大學。  延伸查詢new window
圖書
1.張金鶚(2003)。房地產投資與市場分析:理論與實務 (上篇) : 房地產投資分析。臺北:華泰文化。  延伸查詢new window
圖書論文
1.Glascock, J. L.、Davidson, W. N.(1995)。Performance measures of real estate firm common stock returns。Alternative Ideas in Real Estate Investment。Norwall, MA:Kluwer Academic Publishers。  new window
2.Kappin, S. D.、Schwartz, A. L.(1995)。Recent performance pf US real estate securities。Alternative Ideas in Real Estate Investment。Norwall, MA:Kluwer Academic Publishers。  new window
 
 
 
 
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