關鍵字查詢 | 類別:期刊論文 | | 關鍵字:Evidence from Japanese and U.S. Markets

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1 98/2 國企系 黃健銘 助理教授 期刊論文 發佈 The Hybrid Characteristic of REIT Returns: Evidence from Japanese and U.S. Markets , [98-2] :The Hybrid Characteristic of REIT Returns: Evidence from Japanese and U.S. Markets期刊論文The Hybrid Characteristic of REIT Returns: Evidence from Japanese and U.S. MarketsSu, Hsin-Mei; Huang, Chien-Ming; Pai, Tung-Yueh淡江大學財務金融學系Journal of Real Estate Literature 18(1), p.77-98This study investigates whether the behavior of real estate investment trusts (REITs) is more like that of common stocks or bonds by inspecting the conditional variance of the stock market. The analysis indicates that the REITs returns in Japan and the United States exhibit the same hybrid form. This must depend on the state of the market risk as a result of dividing the stock market volatility into a low-level and a high-level regime. When the volatility of market returns lies in a low-level regime, the REIT returns tend toward traditional stock forms, but do not lie in a high-level regime. Our findings help to reconcile the controversy of previous studies with regard to the REITs characteristics. In addition, the in
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