| Summary: | 碩士 === 長庚大學 === 企業管理研究所 === 97 === The inception of the subprime mortgage crisis in the United States since the summer of 2007 has severely impacted world markets, value of financial products, as well as rate sensitive products such as REITs. The intent of this paper is to analyze the affects to the performance of REITs due to the financial crisis.
In order to analysis the performance around the financial crisis, this research has been broken up into two periods: the first being the 52 weeks before August, 2007 and the other thereafter. The basis of the theory is based on the MV Model developed by Markowitz. The Nonlinear Programming model will be used to determine the Efficient Frontier. Then the other achieving indices such as Sharpe、Treynor、Jensen、and Secant & Link will be applied to determine portfolio optimization. The major stock indices will serve as Benchmark for the analysis.
The results of this research will show that the optimized REITs portfolio increased in value during the one year period after the financial crisis and carried lower risk. And the optimized REITs portfolio’s performance lagged the benchmarked indices and carried higher risk during the period one year prior to the financial crisis; the Beta value for REITs and major indices also had a slightly contradictory trend. However, risk premium of these 2 optimum investment portfolios are still higher than the lowest returns demanded by CAPM, which shows the effectiveness of REITs which makes optimum REITs portfolios an excellent vehicle for risk aversion.
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