摘 要 美國「不動產證券化」的著名專家Michael Oliver指出：「『不動產證券化』對於長期低迷的不動產市場之復甦有很大的幫助，在未來五年內，國際不動產市場將會更全球化，許多國家，特別是南美及亞洲國家，必然會放寬投資限制，讓更多外資進入不動產市場，以恢復不動產業及經濟不景氣問題」，臺灣在92年7月23日不動產證券化條例經總統公佈施行後，不動產投資信託這項工具，顯然將成為重燃起原本對不動產投資依然鍾情的資金回流的希望，我們可以從首檔正式問世的「REITs」產品—富邦一號上市造成大量的超額認購盛況來感受此一強烈需求。 而本地自富邦一號上市以來由於初始超額認購狀況熱烈，許多未來可能投入之地產擁有者及財經媒體亦大力鼓吹，希望可將市場規模迅速擴大，然而REITs雖屬固定性收益產品，但多以封閉型基金方式於股票市場上市交易，所以投資時點的選擇，以減少固定收益受其他因素影響而降低，應是值得探討之課題。 影響REITs的變數雖多，而國內目前僅有一檔產品，交易時間亦不到兩季，基本上較難依此進行統計上的檢測，而目前全球REITs市場比較蓬渤發展要屬美國及澳洲，其中美國歷史最為悠久，已屬相當成熟的市場，因此本次研究選取該市場歷史資料進行統計檢定，藉共整合檢定及VAR檢定來發現影響REITs整體收益時間序列變化的因子，應具一定的研究價值，並希充為發展中的本國市場投資參考。 Abstract The ongoing trend of securitization for real estate would help a lot for recovering the long depressed real estate market. As mentioned by Michael Oliver, a famous expert of real estate securitization in the US, "The international real estate market will be more globalized with the coming years. In order to attract more foreign funds into the real estate market to recover the real estate industry and to resolve the economic depression, many countries especially in South American and Asian countries will for sure untie the limitation of investment". After the regulation of Real Estate Securitization was scrutinized and published by the government of Taiwan on July 23, 2003, real estate investment trusts (REITs) will obviously refill the hope that funds used to be in favor of real estate investment would inflow again. The market experienced a huge demanded for the Fubon No. 1, the first local REIT in Taiwan, since it was initiated. Due to the over demand for the Fubon NO. 1, many potential real estate investors and financial media are encouraging people to participate this market in the hope of increasing the size dramatically. However, even though REITs belong to the fixed income products, it is traded at the stock market in the form of closed-end funds. It would be worthy to explore which timing is the best to participate the market and how it will affect the returns of fixed income securities. There are a lot of factors that would affect the returns on REITs, and at the moment only one single REITs product is launched in Taiwan. It would be very difficult to monitor its performance statistically, since the trading record is less than two quarters. On the other hand, the US and Australia are two of the well-developed areas and have long history in REITs market. Especially for the US, REITs market is more sophisticated than any other area. Therefore, we could use this market as a benchmark to precede the statistical analysis. We use the co-integration test and VAR to sort out the factors would affect the performance of REITs, and we do hope by doing so would provide valuable information to this newborn local investment market.