The study of REIT dividend and Price-base on the model of Campbell and Shiller

• Main Authors: Shao Fu Lu, 呂紹甫
• Other Authors: Ahyee Lee
• Format: Others
• Language: zh-TW
• Published: 2005
• Online Access: http://ndltd.ncl.edu.tw/handle/76166694583722236140

碩士 === 輔仁大學 === 經濟學研究所 === 93 === Abstract The main purpose of this paper lies in studying the financial characteristics of the U.S. REIT. We use quarterly data to do the study from the second Quarter of 1971 to the first quarter of 2003, The research approach uses the dividend-ratio model derived from Campbell & Shiller (1988a) to test the predictability of the REIT return and excess REIT return and compares with the results obtained from traditional regression model. The result is as follows: 1. No matter the discount factor is constant or variable, we obtain the result of overthrowing the present value model. 2. The movement of the dividend price ratio can be decomposed into two parts, one from the movement of the discount factor, the other from the movement of the expected dividend growth rate. The majority of the movement of the dividend price ratio is explained by the movement of the expected dividend growth rate. 3. Comparing the dividend-ratio model and the traditional regression model, we find that both models conclude that the return can be predicted and the power of the dividend-ratio model is higher