不動產投資信託基金反向效應與其獲利來源

Contrarian Effect of REITs and the Sources of their Profitability

本文分析不動產投資信託基金之反向效應與其獲利來源。本文貢獻在於探討除了投資人過度反應外，是否有其他因素造成了不動產投資信託基金反向效應。分析結果如下：首先，不動產投資信託基金反向投資組合的確可以產生正的異常報酬率。其次，除了投資人過度反應之外，另有兩個因素對反向效應有顯著影響：跨自我相關效應與橫斷面報酬變異效應。此外，如果跨自我相關效應不存在，則反向投資組合報酬率將會比實證上所觀察之報酬率來得更大。另外，橫斷面報酬變異降低了反向投資組合之報酬率。綜合而言，過度反應並不是造成不動產投資信託基金反向效應的唯一因素，跨自我相關效應與橫斷面報酬變異效應都會減少不動產投資信託基金反向投資組合之獲利。

The current literature documents that the contrarian effect in the REIT markets can be attributed to investor overreaction. The objective of this article is to explore whether factors other than investor overreaction may also cause the REIT's contrarian effect. We find that, first, the contrarian portfolios in the REIT markets are still profitable even after we control for the risk of these portfolios. Second, by decomposing the contrarian returns of REITs, we show that three factors account for this contrarian phenomenon: investor overreaction, the cross-autocorrelation effect, and the crosssectional return-variation effect. Our analysis suggests that the observed REITs' contrarian returns would have been even larger if the cross-autocorrelation effect were absent. The cross-sectional return-variation effect significantly decreases the contrarian profitability of REITs. Overall, our research indicates that investor overreaction is not the only factor explaining the REITs' contrarian effect. Both the cross-autocorrelation effect and the cross-sectional variation effect contribute to the contrarian profitability of REITs.