The effect of interest rate on the long-term and short-termPerformance of REITs'' IPO .

• Main Authors: Po-Wei Hsu, 許博為
• Other Authors: Yuh-sheng Horng
• Format: Others
• Language: zh-TW
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/87595148158661476995

碩士 === 靜宜大學 === 財務金融研究所 === 95 === The trend of interest rate relates the market cycle. In the US, real estate market may affect the economy. This research mainly investingates whether the changes of interest rate under different levels will affect the returns after REIT IPOs. I also examine whether the real estate market factor, the market factor, the scale size, and the American consumer price index will affect the returns after REIT IPOs. The samples are selected from listed REITs in US New York Stock Exchange ( NYSE ) between 1972 and the end of 2005. The results show that on the day of IPO, the average return of REITs is 21.11%. The short-term analysis results show that, CAR (1, 6) and CAR (1, 30) after IPO are positively and significantly relaed to the market factor. The long-term analysis results demonstrates that the cumulative excess returns of all of the REITs samples and the Equity REITs are significantly and positively affected by the market risk premium factor. Dividing the REITs into Equity REITs and Mortgage REITs, the results show that 12 months after IPO, CAR of Mortgage REITs is significantly and positively affected by the return risk premium factor of the real estate industry. The 12 month cumulative excess return is significantly and negatively affected by the change ratio of American consumer price index.