本研究主要探討不動產投資信託是否可以增加投資人分散投資之效益。本研究以Markowitz提出平均數-變異數模型為基礎建構多條效率前緣，並使用Kan and Zhou（2008）提出的平均數-變異數擴張檢定方法（Mean-Variance Spanning Test）進行效率前緣是否擴張之檢定。
本研究共建立三個假說，分別探討各國REITs對於該國投資人之分散投資效果、投資期間與投資人之基礎投資組合對於REITs分散效果之影響。
假說一為「REITs可達分散投資之效益」，實證結果顯示，美國、日本、新加坡與台灣地區之REITs可替該國投資人獲得多元投資之效益。此外，對於台灣地區之股票投資者而言，納入多國的REITs投資比僅單一納入台灣REITs更具分散投資之效益。
假說二為「投資人的投資期間會影響REITs納入投資組合的成效」，實證結果則顯示澳洲REITs對於該國股票投資人的分散投資效益會隨著時間而有顯著的改變，因此建議投資人在投資澳洲股票與REITs時，必須適時調整投資組合內資產的投資權重以獲得最適之資產配置。然而美國、日本、新加坡與台灣地區之REITs的分散投資效果並未隨著投資期間的改變而有顯著之改變，推測這些國家之REITs與該國之股票市場連動性較穩定所致。
假說三為「投資人原本持有之基礎投資組合會影響REITs納入投資組合的成效」，實證研究發現若投資人除了納入台灣股票投資與台灣REITs外，再新增債券投資，則可更進一步降低資產組合之風險。

Real Estate Investment Trusts is suggested as an attractive addition to mixed-asset portfolio. This study develops several hypothesized portfolio and tests whether REITs can actually increase diversification benefits of investors. We use mean-variance spanning test by Kan and Zhou (2008) to examine whether adding a REITs into portfolio can significantly expand efficient frontier in either global minimum variance portfolio or tangency portfolio. We assume our investors hold portfolio in the four markets, namely Japan, Singapore, Taiwan and US markets for period from March 2005 to February 2008.
Three hypotheses are tested under various assumed conditions. The first hypothesis, which is REITs can provide diversification benefit, is confirmed in all these four markets. In addition, we find, for Taiwan domestic investors, holding international REITs in their portfolio rather than only Taiwan’s REITs will provide more diversification benefit. The second hypothesis, which is holding period will affect diversification benefit, is not supported. However, this could be resulted from a test of short period in this study. The final hypothesis, which is different investment portfolio will affect the diversification benefit of RETIs for Taiwan domestic investors, is confirmed. Our results also suggest that expanding of efficient frontier are mainly from global minimum variance portfolio rather than tangency portfolio.

第一章 緒論 ..................................................................... 1
第一節 研究動機 ................................................................................................ 1
第二節 研究目的 ................................................................................................ 2
第三節 研究方法 ................................................................................................ 3
第四節 研究架構 ................................................................................................ 5
第二章 文獻回顧與探討 ...................................... 7
第一節 投資組合之相關文獻 ............................................................................ 7
第二節 不動產投資信託的相關文獻 ................................................................ 9
第三章 各國不動產投資信託發展現況 ............................................................. 13
第一節 美國REITs 市場 ................................................................................. 13
第二節 澳洲REITs 市場 ................................................................................ 15
第三節 亞洲REITs 市場 ................................................................................. 16
第四章 研究設計 .......................................................... 18
第一節 研究假說 .............................................................................................. 20
第二節 實證資料來源與處理 .......................................................................... 20
第三節 研究方法 .............................................................................................. 22
第五章 實證結果與分析 ............................................ 27
第一節 各國不動產投資信託之最適資產配置分析 ...................................... 28
第二節 國際不動產投資信託之最適資產配置分析 ...................................... 31
第三節 投資期間影響不動產投資信託之最適資分析 .................................. 32
第四節 基礎資產影響不動產投資信託之最適資產分析 .............................. 34
第六章 結論與後續研究建議 ............................................................................... 35
第一節 結論 ...................................................................................................... 35
第二節 後續研究建議 ...................................................................................... 37
參考文獻......................................... 67

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