A Study for Performance Evaluation and Influence Factors of Returns of Real Estates Investment Trustsin Taiwan.

Autor: Yu-Ting Chung, 鐘于婷
Rok vydání: 2008
Druh dokumentu: 學位論文 ; thesis
Popis: 96
To fact「Low Interest Rate and Low Growth」, a lot of people have already changed the traditional finance investment tools into funds or other kinds of financial derivatives and so on. As the government of Taiwan passed the ordinance of Real-Estate securitization, the appearance of several real estate securitization goods became one of the outlets for investing real estate. It is no longer the rich''s rights to invest the correlative products of real estate, and the small amount investors can also acquire returns from it and promote the activating of the real estate market. As to review of the relative literatures of Real Estate Investment Trusts, most of them probe into the developing history, prediction of goods, relation with stocks of Real Estates Investment Trusts in Taiwan, or use of offering Taiwan as reference by taking each country of Asia as an example. This research still belongs to minority to study on the performance evaluation and influence factors of returns of of Real Estates Investment Trusts in Taiwan. As a whole, this research mainly investigates rate of investment returns and influce factors of returns of Real Estates Investment Trusts in Taiwan. The data period is from October 13, 2006 to March 30, 2008. It uses six of Real Estate Investment Trusts funds which have been already listed in Taiwan at present as the samples, and takes their daily data of return to proceed evidence research. This study employs CAPM and various kinds of performance indicators as Sharpe Index, Treynor Index, Jensen Index and the modified Jensen measure to estimate performance behavior of data. Moreover, it used two-factors model, three-factors model, Macroeconomic-factors model and Arbitrage Pricing Theory to analyze what kind of models and factors have the capability of explanation for Real Estates Investment Trusts in Taiwan. The contribution of this research is the result of evidence research can be the referral indicator for investors in choosing the prizes of Real Estates Investment Trusts in Taiwan. This research results：At performance evaluation, the best is Fubon Number One Real Estate Investment Trust. And three-factor model is the best Capital Asset Pricing Model which has great ability to explain abnormal returns of Taiwan Real Estates Investment Trust
Databáze: Networked Digital Library of Theses & Dissertations
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