這篇論文的目的是為不同的不動產管理策略在不同的產業間是否會影響公司的股票報酬及市場風險。本研究以2000年至2010年間的全產業443家上市公司為研究對象，我們運用部份調整模型將所有公司分類至四種不同類型的不動產管理策略並且實證檢驗比較綜合序列及純事業序列的異常報酬和市場風險，另外我們也運用兩階段最小平方法試著去證實，在衡量公司價值時，四種不動產管理策略是否都可視為分散風險的因子。
研究結果發現，並沒有證據顯示執行某一特定的不動產管理策略會增加股票的報酬，然而採行穩定專業、穩定調整的策略下可以減輕市場性風險，積極調整策略則沒有分散風險的效果。此外，研究也發現採行積極調整策略的公司可以利用擴大資產規模來減輕市場性風險，但如果增加舉債的程度將會讓市場風險提高，就採行穩定專業策略的公司，若讓帳面價值/市價的比率增加將會讓公司承受較高的市場風險。因此這篇論文結果證實不同的不動產管理策略會影響公司的市場風險。

This study examines whether different corporate real estate (CRE) strategies affect the stock outperformance and systemic risk of various companies. The sample of 443 listed companies of 17 industries in Taiwan during 2000 to 2010 was divided into four groups for the different corporate real estate strategies. The pairwise abnormal return and systemic risk of composite and business (without the affect from real estate market) series were empirically examined and compared using a partial adjustment model. This study also conducts the two-stage least squares procedure to determine whether four CRE strategies were considered diversifiable factors when evaluating the firm’s value
The results do not indicate an increasingly abnormal return performance associated with the company implementing a certain CRE strategy, but companies with a stable profession and consistent adjustment strategies are considered a good diversifier by stock investors. Aggressive adjustment strategies do not diversify the systematic risk to overall industry, otherwise the scale of total assets would be considered a diversification in companies with aggressive strategies. The companies using an aggressive profession strategy to increase leverage are regarded as risky phenomen for stock investors, and companies with stable profession strategies face higher systemic risk if their book value is greater than their market value. Therefore, this study determines that CRE strategies affect companies’ systematical risk.

封面………………………………………………………………………….................i
謝辭……………………………………………………………………………………ii
中文摘要………………………………………………………….…………………..iii
Abstract………………………………………..……………………………………...iv
List of Figures……………………………...………………………………………....vi
List of Tables……………………………...………………………………………….vii
1. Introduction……………………………………………………………………… ...1
2. Review of Previous Work……………………………….………………..… 4
3. Research Sample and Data Characteristics………………………………………...7
4. Research Methodology…………………………………………………………….11
4.1 Research Structure…………………………………………………………..11
4.2 Partial Adjustment Method……………………………...………………..…13
4.3 Single Index Model………………………………………...………….……15
4.4 Two-Stage Least Squares Procedure……………..…………………………16
5. Empirical Results………………………………………………………………...18
5.1 Fundamental Statistics of CRE Behavior Variances……………………….18
5.2 Whether a certain CRE Strategy improve the stock market performance….19
5.3 Whether a certain CRE strategy was considered as diversified factor…..….24
6. Conclusion and Implication……………………………………………………….29
6.1 Conclusion………………………………………………………….………29
6.2. Implication………………………………………………………………....30
Reference………………………………………………………………….………31

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