基于现值模型的REITs市场有效性分析  

REITs Market Efficiency Analysis Based on Present-Value Model

作　　者：张娟[1] 

机构地区：[1]广东金融学院经济贸易系,广州510521

出　　处：《统计与决策》2017年第15期173-177,共5页Statistics & Decision

基　　金：广东高校省级重点平台和重大科研项目(2015WQNCX103)

摘　　要：文章基于有效市场理论(EMH)阐明了测试市场有效性的基本原理和分析过程,根据2011-2014年期间FTSE英国房地产投资信托基金(REITs)价格和总回报指数,重新设定研究变量。假定投资者将房地产投资信托基金属性视为金融资产,而不是持有经营性资产,对现值(Present-value)模型进行重新整合分析,判断REITs市场有效性及分析其市场价值,为投资者提供参考,为REITs在我国的发展提供借鉴。On the basis of efficiency market hypothesis （EMH）, this paper illustrates the basic principle and analysis process of testing the market efficiency, and resets the variables of the research model by using FTSE UK Real Estate Investment Trust （REIT） price index and the total return index from the year 2011 to 2014. Assuming that investors consider REITs as financial assets rather than holding operational assets, the paper reintegrates and analyzes the present-value model to estimate the efficiency of REITs market and analyze the market value, which provides a reference both for investors and for the REITs development in China.

关 键 词：房地产投资信托REITs 市场有效性EMH 现值(Present-value)模型 

分 类 号：F831[经济管理—金融学]