房地产投资信托基金系统性风险特征实证研究及对金融创新的启示被引量：7

Empirical Study on the Characteristics of Systematic Risk of REITs and Its Implication to Financial Innovation

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摘要根据美国、香港等国家(地区)的房地产投资信托基金(REITs)市场数据进行实证分析,探讨REITs的系统性风险特征.结合本文与现有国外实证研究结果,可知REITs的系统性风险与基准市场收益率选择以及REITs的基础资产类别有关,并因此呈现时变性与横截面差异.从资产配置角度以及REITs投资策略角度,本研究对潜在投资者具有直接参考意义,也为我国REITs市场的建立与发展以及其他金融创新提供有益的启示. Using the available data on REITs from US and Hong Kong markets, it explores the characteristics of sys- tematic risk of REITs. Combined with the empirical research results from other countries, it finds that the systematic risk incurs time variations and cross-sectional variations. The systematic risk is significantly correlated to the benchmark market return used in the empirical analysis and the types of underlying assets of the REITs. It is informative and useful for those potential investors either in asset allocation or investment strategy decisions. It also provides implications to the establishment and development of REITs market or other financial innovations in China.

作者陆却非徐莉

机构地区中国科技大学管理学院复旦大学管理学院

出处《研究与发展管理》 CSSCI 北大核心 2010年第5期113-119,共7页 R&D Management

基金国家自然科学基金资助项目"投资者利益保护的评价理论与方法"(70632002)

关键词房地产投资信托基金系统性风险金融创新投资者保护 real estate investment trust systematic risk financial innovation investor protection

分类号 F830.59 [经济管理—金融学]

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