不動產投資信託基金的發行時機：以投資情緒分析

Market Timing and REITs: A Sentimental Analysis

本文在探討市場時機對美國不動產投資信託基金（REIT）初次發行上市之影響。本研究結果發現，在1993年至1998年間REIT初次發行上市熱絡期，投資人情緒並未影響REIT初次發行上市之頻率及收益。但在1998年後逐漸成熟REIT市場中，經理人採市場時機策略，依市場情緒作判斷發行上市與否。REIT初次發行上市頻率與投資人情緒呈正向顯著關係。REIT初次發行頻率和收益，與貸款利率呈負面顯著關係。經理人會在REIT市場發展較為成熟後，才會參考投資人情緒作為初次發行上市的時機。本研究亦比較不動產市場和總體經濟相關變數，以分析投資人情緒和其來源對REIT初次發行上市之影響。

This study analyzes the influence of market timing on the initial public offerings (IPOs) of real estate investment trusts (REITs). We use the ordinary least-squares method to identify the responses of housing, macroeconomic, and market sentiment indicators to REIT IPOs to demonstrate the differences in how investor sentiment affects REIT IPOs before and after the hot REIT IPO market. In regard to REIT issuances during the hot IPO period (1993 to 1998), investor sentiment did not influence IPO frequency or proceeds. However, after the market matured in 1998, managers timed IPO decisions based on market sentiment. IPO frequency is positively related to investor sentiment, that is, managers time IPOs for when investors are bullish. Moreover, IPO frequency or proceeds are always negatively related to the mortgage rate, which serves as a proxy for real estate holding costs. Managers consider investor sentiment only after the REIT industry becomes well developed and must constantly consider mortgage rates. This study compares the housing market and the macroeconomy to analyze the sources and effects of sentiments toward REIT IPOs.