本論文針對美國不動產投資信託產業探討多角化策略、現金管理與財務績效之關聯性。論文分為兩個主題。第一個主題主要探討權益型不動產投資信託公司(REITs)從事非租金收入的活動是否影響會計報酬的表現。利用系統性動差估計方法針對111家權益型不動產投資信託公司進行動態追蹤資料的實證分析，研究期間為1990年至2010年。研究結果發現REIT公司透過非租金收入提高多角化指標的行為，會同時增加資產報酬率與盈餘波動度；多角化指標的提高，會對調整後資產報酬率產生顯著的負面影響。進一步考量REIT公司從事不動產種類與地理分布的多角化行為對於會計報酬的影響，實證結果顯示REIT公司多角化收入活動的行為，會增加公司的償債風險並降低財務的健全度。當REIT公司擁有多樣種類的不動產且進行經營區域多角化時，公司的調整後會計報酬與財務健全性會得以改善。本章節以收入結構、不動產種類及地理位置的面向，探討不動產投資信託公司從事多角化策略對會計績效的影響，結果顯示公司經營較多的非租金收入活動，對會計績效具有不利的影響，透過全球性且多樣化的不動產的經營，可以改善公司的會計報酬與財務健全度。
第二個主題主要探討不動產投資信託公司的現金偏離程度如何影響未來的股票報酬。首先分析不動產投資信託公司的現金估計主要影響因子，並利用現金實際值與預期值的差異估計現金偏離程度。本研究引入多角化因子，透過收入結構與地理多角化區分樣本進行現金模型的估計，並利用不同的現金偏離程度，以進一步檢驗現金偏離程度的大小對未來股票報酬的影響。實證結果顯示REIT經理人會傾向減少現金的持有量以降低潛在的代理問題；當公司未來的投資機會越高時，經理人會估計較多的現金存量；外部資金取得的難易度會影響現金持有量的高低。當公司透過非租金收入來增加多角化指標，會增高現金存量的估計。進一步的實證分析指出現金偏離程度，會影響未來股票報酬。過多或不足的現金存量會降低未來的報酬表現。對於從事全球化不動產投資的REIT公司，現金偏離程度越大，公司持有太多現金，對未來報酬具有顯著的負向影響。REIT經理人在不同的多角化策略下，針對未來投資機會與外部資金成本，決定現金存量的水準。現金過多的狀況，會增加代理問題的可能性，進而降低未來的報酬表現。

This dissertation examines two topics regarding the linkage among diversification measures, determinants of cash holdings, and financial performance of equity U.S. real estate investment trusts (REITs). In Chapter 2, I primarily investigate the impact of diversification on performance based on annual accounting data in the REIT industry over the period from 1990 to 2010. The results obtained by applying dynamic GMM techniques show that the diversification of revenue streams may both increase earnings deviations and increase the return on average assets. Therefore, a more diversified income structure may be significantly and negatively related to returns per unit of risk. Regarding the property diversity and geographic diversification, REIT firms who operate their properties internationally would increase their financial stability. Geographic diversification would improve the risk-adjusted return and insolvency risk, especially for REIT firms that hold more non-rental revenue activities. Overall, holding properties abroad would provide REIT firms with a novel and effective way to improve financial performance.
In Chapter 3, I mainly examine how deviations from the expected level of cash holdings affect future stock returns in the U.S. REIT industry. I first analyze the determinants of cash holding by taking different diversification measures into consideration. Further, I estimate deviations from expected cash holdings and investigate whether such deviations worsened the future returns for 111 equity REIT firms during the period from 1990 to 2010. The findings indicate that REIT managers elect to hold less cash to reduce agency problems of free cash flow. Growth opportunity would lead managers to retain more cash on hand, while availability of access to capital markets would reduce the retaining level of cash. However, diversification of revenue streams via non-rental activities might increase the uncertainty of revenue generation and therefore increase the level of cash holdings. Regarding the relationship between deviations and future returns, REIT managers who hold cash in amounts that deviate from the expected level would experience lower stock returns, and holding too much cash on hand might be detrimental to future return performance. Overall, REIT managers determine their cash policies based on future growth opportunities and the external costs of capital, even controlling the impact of diversification on cash holdings. For REIT firms with geographic diversity, holding excess cash would increase the possibility of agency conflict, consequently worsening the firms’ future performance.

謝 誌 i
摘 要 ii
ABSTRACT iii
Chapter 1 Introduction 1
1.1 Background 1
1.2 The Purpose and Structure of the Dissertation 4
Chapter 2 Diversification of Income Structure and Financial Performance 5
2.1 Introduction 5
2.2 Theory and Literature Review 10
2.2.1 Modern Portfolio Theory 10
2.2.2 Related Literature 12
2.2.3 Hypotheses Development 17
2.3 Model Development and Variables 19
2.4 Data and Empirical Results 26
2.4.1 Data and Descriptive Statistics 26
2.4.2 Results of GMM Models on Firm Profitability and Earnings Volatility 30
2.4.3 Additional Examinations: Adjusted Returns and Insolvency Risk 40
2.4.4 Robustness Test 49
2.5 Chapter Summary 55
Chapter 3 Diversification, Cash Holdings, and Future Stock Returns 58
3.1 Introduction 58
3.2 Literature Review and Hypotheses Development 64
3.2.1 Determinants of Cash Holdings 64
3.2.2 Effect of Cash Holdings on Future Performance 67
3.2.3 Empirical Hypotheses 68
3.3 Empirical Models and Variables 69
3.3.1 The Determinants of Cash Holdings 69
3.3.2 The Econometric Model of Future Returns 73
3.4 Data and Empirical Results 77
3.4.1 Data and Descriptive statistics 77
3.4.2 The Expected Level of Cash Holdings 83
3.4.3 Deviations from Expected Cash Holdings and Future Returns 92
3.5 Chapter Summary 107
Chapter 4 Conclusions and Implications 109
4.1 Conclusions 109
4.2 Implications 110
4.3 Future Research and Feasible Directions 112
Bibliography 114
Appendix 120

Almeida, H., Campello, M., and Weisbach, M., 2004. The cash flow sensitivity of cash. Journal of Finance 59, 1777-1804.
Altman, E.I., 1986. Financial ratios, discriminant analysis and the prediction of corporate bankruptcy. Journal of Finance 23, 589-609.
Ambrose, B. W., and Bian, X., 2010. Stock market information and REIT earnings management. Journal of Real Estate Research 32, 101-137.
Arellano, M., and Bond, S. R., 1991. Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations. Review of Economic Studies 58, 277–297.
Arellano, M., and Bover, O., 1995. Another look at the instrumental variable estimation of error-components models. Journal of Econometrics 68, 29-51.
Basu, S., 1977. Investment performance of common stocks in relation to their price-earnings ratios: A test of the efficient market hypothesis. Journal of Finance 32 663-682.
Basu, S., 1983. The relationship between earnings yield, market value and return for NYSE common stocks: Further evidence. Journal of Financial Economics 12, 129-157.
Baum, C. F., Caglayan, M., Ozkan, N., and Talavera, O., 2006. The impact of macroeconomic uncertainty on non-financial firms' demand for liquidity. Review of Financial Economics 15, 289-304.
Baumol, W. J., 1952. The transactions demand for cash: An inventory theoretic approach. Quarterly Journal of Economics 66, 545-556.
Berger, A., and Udell, G. F., 1995. Relationship lending and lines of credit in small firm finance. Journal of Business 68, 351-381.
Berger, P., and Ofek, E., 1995. Diversification’s effect on firm value. Journal of Financial Economics 37, 39–65.
Best, R. W., Hogges, C. W., and Lin, B. X., 2004. Does information asymmetry explain the diversification discount? The Journal of Financial Research 27, 235-249.
Bodnar, G. M., Tang, C., and Weintrop, J., 1999. Both sides of corporate diversification: the value impacts of geographic and industrial diversification. Working paper, Johns Hopkins University.
Blundell, R., and Bond, S., 1998. Initial conditions and moment restrictions in dynamic panel data models. Journal of Econometrics 87, 115-143.
Burgelman, R. A., 1983. A process model of internal corporate venturing in the diversified major firm. Administrative Science Quarterly 28, 223-244.
Bushman, R., Chen, Q., Enge, E., and Smith, A., 2004. Financial accounting information, organizational complexity and corporate governance systems. Journal of Accounting and Economics 37, 167-201.
Campa, J., and Kedia, S., 2002. Explaining the diversification discount. Journal of Finance 57, 1731-1762.
Capozza, D. R., and Lee, S., 1995. Property type, size and REIT value. Journal of Real Estate Research 10, 363-379.
Capozza, D. R., and Seguin, P., 1998. Managerial style and firm value. Real Estate Economics 26, 131-150.
Capozza, D. R., and Seguin, P., 1999. Focus, transparency, and value: the REIT evidence. Real Estate Economics 27, 587-619.
Chan,S. H., Erickson, J., and Wang, K., 2003. Real estate investment trusts: structure, performance, and investment opportunities. Oxford, NY: Oxford University Press.
Chandler, A., 1977. The Visible Hand. Cambridge, MA: Belknap Press.
Chandraskeharan, V., 1999. Time-series properties and diversification benefits of REIT returns. Journal of Real Estate Research 17, 91-111.
Chen, M. C., Wang, C. Y., and Shyu, S. D., 2012. Liquidity and the future stock returns of the REIT industry, Journal of Real Estate Finance and Economics 45, 588-603.
Chen, S. S., and Ho, K. W., 2000. Corporate diversification, ownership structure, and firm value: the Singapore evidence. International Review of Financial Analysis 9, 315-326.
Cooper, M., Gulen, H., and M. Schill, M., 2008. Asset growth and the cross-section of stock returns. Journal of Finance 68, 1609-1651.
Denis, D. J., Denis, D. K., and Sarin, A., 1997. Agency problems, equity ownership, and corporate diversification. Journal of Finance 52, 135-160.
Denis, D. J., Denis, D. K., and Yost, K., 2002. Global diversification, industrial diversification, and firm value. Journal of Finance 57, 1951-1979.
Damodaran, A. 2005. Dealing with cash, cross holdings and other non-operating assets: Approaches and implications. Working Paper, New York University.
DeBondt, W. F. M., and Thaler, R. H. 1990. Do security analysts overreact? American Economic Review 80, 52-57.
Diamond, D. W. 1984. Financial intermediation and delegated monitoring. Review of Economic Studies 51, 393-414.
Diamond, D. W., 1991. Monitoring and reputation: The choice between bank loans and directly placed debt. Journal of Political Economy 99, 689-721.
Dittmar, A., and Mahrt-Smith, J., 2007. Corporate governance and the value of cash holdings. Journal of Financial Economics 83, 599-634.
Dittmar, A., Mahrt-Smith, J., and Servaes, H., 2003. International corporate governance and corporate cash holdings. Journal of Financial and Quantitative Analysis 38, 111-133.
Driffill, J., Psaradakis, Z., and Sola, M., 1998. On testing the expectations model of the term structure using instrumental variables. International Journal of Finance and Economics 3, 321-325.
Duchin, R., 2010. Cash holdings and corporate diversification. Journal of Finance 3, 955-992.
Fazzari, S., and Petersen, B., 1993. Working capital and fixed investment: New evidence on financing constraints. Rand Journal of Economics 23, 328-342.
Ferreira, M. A., Cust′odio, C., and Raposo, C., 2005. Cash holdings and business conditions. Working paper, European Corporate Governance Institute ECGI.
Geltner, D., and Kluger, B., 1998. REIT-based pure-play portfolios: the case of property types. Real Estate Economics 26, 581-612.
Ghosh, C., Miles, M., and Sirmans, C. F., 1996. Are REITs stocks? Real Estate Finance 13, 46-53.
Ghosh, C., and Sirmans, C. F., 2006. Do managerial motives impact dividend decisions in REITs? Journal of Real Estate Finance and Economics 32, 327-355.
Gyourko, J., and Nelling, E., 1996. Systematic risk and diversification in the equity market. Real Estate Economics 24, 493-515.
Hadlock, C., Ryngaert, M., and Thomas, S., 2001. Corporate structure and equity offerings: are there benefits to diversification? Journal of Business 54, 613-635.
Hall, E. H., 1995. Corporate diversification and performance: an investigation of causality. Australian Journal of Management 20, 25-42.
Hardin, W. G. III, Highfield, M. J., Hill, M. D., and Kelly, G. W., 2009. The determinants of REIT cash holdings. Journal of Real Estate Finance and Economics 39, 39-57.
Hardin, W., and Hill, M., 2008. REIT dividend determinants: Excess dividends and capital markets. Real Estate Economics 36, 349-369.
Harford, J., 1999. Corporate cash reserves and acquisitions. Journal of Finance 54, 1969-1997.
Harris, M., Kriebel, C. H., and Raviv, A., 1982. Asymmetric information, incentives, and intrafirm resource allocation. Management Science 28, 604-620.
Hitt, M., Hoskisson, R., and Kim, H., 1997. International diversification: Effects on innovation and firm performance in product diversified firms. Academy of Management Journal 40, 767-798.
Hyland, D. C., and Diltz, D. J., 2002. Why firms diversify: a empirical examination. Financial Management 31, 51-81.
Jensen, M. C., 1986. Agency costs of free cash flow, corporate finance and takeovers. American Economic Review 76, 323-329.
Jensen, M. C., and Meckling, W., 1976. Theory of the firm: managerial behavior, agency costs, and ownership structure. Journal of Financial Economics 3, 302-360.
Jiraporn, P., Kim, Y., and Mathur, I., 2008. Does corporate diversification exacerbate or mitigate earnings management? an empirical analysis. International Review of Financial Analysis 17, 1087-1109.
Kang, H. H., and Liao, K. C., 1999. A study on the feasibility of the application of "portfolio model" on the strategy of diversification in direct Investment. The NTU Management Review 10, 171-197.
Keynes, J. M., 1936. The general theory of employment, interest, and money. New York: Harcourt Brace.
Kim, C., Mauer, D., and Sherman, A., 1998. The determinants of corporate liquidity: Theory and evidence. Journal of Financial and Quantitative Analysis 33, 305-334.
Kim, Y. S., and Mathur, I., 2008. The impact of geographic diversification on firm performance. International Review of Financial Analysis 17, 747-766.
Krishnaswamia, S., and Subramaniam, V., 1999. Information asymmetry, valuation, and the corporate spin-off decision. Journal of Financial Economics 53, 73-112.
Kuhle, J. L., 1987. Portfolio diversification and return benefits- common stock vs. Real Estate Investment Trusts REITs. Journal of Real Estate Research 2, 1-9.
Lang, L. H. P., and Stulz, R. M., 1994. Tobin’s q, corporate diversification, and firm performance. Journal of Political Economy 102, 1248-1280.

Lepetit, L., Nys, E., Rous, P., and Tarazi, A., 2008. Bank income structure and risk: An empirical analysis of European banks. Journal of Banking and Finance 32, 1452-1467.
Lewellen, W., 1971. A pure financial rationale for the conglomerate merger. Journal of Finance 26, 521-537.
Li, K. K., 2008. Expected holding of cash, future performance and stock return. Working paper, University of California at Berkeley.
Lins, K., and Servaes, H., 1999. International evidence on the value of corporate diversification. Journal of Finance 54, 2215-2239.
Markowitz, H., 1952. Portfolio selection. Journal of Finance 7, 77-91.
Martin, J. D., and Sayrak, A., 2003. Corporate diversification and shareholder value: a survey of recent literature, Journal of Corporate Finance, 9, 37-57.
Mikkelson, W., and Partch, M., 2003. Do persistent large cash reserves hinder performance? Journal of Financial and Quantitative Analysis 38, 275-294.
Milbourne, R. D., Buckholtz, P., and Wasan, M. T., 1983. A theoretical derivation of the functional form of short run money holdings. Review of Economics Studies 50, 531-541.
Miller, J. C., and Pras, B., 1980. The effects of multinational and export diversification on the profit stability of U.S. corporations. Southern Economic Journal 46, 792-805.
Mueller, G., Pauley, K., and Morrill Jr, W., 1994. Should REITs be included in a mixed-asset portfolio? Real Estate Finance 11, 23-28.
Montgomery, C. A., 1994. Corporate diversification. Journal of Economics Perspectives 8, 163-178.
Myers, S. C., and Majluf, N., 1984. Corporate financing and investment decisions when firms have information that investors do not have. Journal of Financial Economics, 13, 187-221.
Myers, S. C., and Rajan, R. G., 1998. The paradox of liquidity. Quarterly Journal of Economics 113, 733-771.
Oler, D., and Picconi, M., 2009. Implications of insufficient and excess for future performance. Working paper, Texas Tech University.
Opler, T., Pinkowitz, L., Stulz, R., and Williamson, R., 1999. The determinants and implications of corporate cash holdings. Journal of Financial Economics 52, 3-46.
Ozkan, A., and Ozkan, N., 2004. Corporate cash holdings: An empirical investigation of UK companies. Journal of Banking and Finance 28, 2103-2134.
Rajan, R., Servaes, H., and Zingales, L., 2000. The cost of diversity: The diversification discount and inefficient investment. Journal of Finance 55 35-80.
Richardson, S., 2006. Over-investment of free cash flow. Review of Accounting Studies 11, 159-189.
Roodman, D., 2009. How to do xtabond2: an introduction to difference and system GMM in Stata. Stata Journal 9, 86-136.
Scharfstein, D. S., and Stein, J. C., 2000. The dark side of internal capital markets: Divisional rent-seeking and inefficient investment. Journal of Finance 55, 2537-2564.
Scharfstein, D.S., 1998. The dark side of internal capital markets II: evidence from diversified conglomerates, Working Paper. NBER.
Stein, J. C., 1997. Internal capital markets and the competition for corporate resources. Journal of Finance 52, 111-133.
Stiroh, K. J., and Rumble, A., 2006. The dark side of diversification: the case of US financial holding companies. Journal of Banking and Finance 30, 2131-2161.
Sufi, A., 2009. Bank lines of credit in corporate finance: An empirical analysis. Review of Financial Studies 22, 1057-1088.
Tobin, J., 1956. The interest elasticity of the transactions demand for cash. Review of Economics and Statistics 38, 241-247.
Thomas, S., 2002. Firm diversification and asymmetric information: evidence from analyst’s forecasts and earnings announcements. Journal of Financial Economics 64, 373-396.
Villalonga, B., 2004. Does diversification cause the diversification discount? Financial Management 33, 5-27.
White, H., 1980. A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity. Econometrica 48, 817-838.
Windmeijer, F., 2005. A finite sample correction for the variance of linear efficient two-step GMM estimators, Journal of Econometrics 126, 25–51.