| Summary: | 碩士 === 銘傳大學 === 財務金融學系碩士在職專班 === 100 === The dissertation aims to highlight the risk and return profile of Canadian Income Trust, through its product features and incorporating such vehicles into portfolio.
In terms of product features, this dissertation briefly summarizes the basic information such as Income Trust’s definition, structure, type, feature, ratings, as well as the historical development and market status. In the parts of empirical tests, this dissertation mainly utilizes the Mean-Variance Spanning Test proposed by Huberman and Kandel (1987) and three Asymptotic statistical tests proposed by Kan and Zhou (2008), namely, Likelihood Ratio Test, Wald Test, and Lagrange Multiplier Test. Those tools are used to examine whether it enhance the portfolio overall performance and/or decrease the investment risk (Efficient Frontier Spanning) while the Income Trust is added into the existing portfolio. Meanwhile, Step-down Test is used to ascribe the change on the efficient frontier to the change(s) of the Tangency Portfolio and/or of the Minimum Variance Portfolio.
To fulfill the purposes of getting generalized conclusions and of forming the original portfolios, the selected stock markets including Canada, G7, BRICs, Greater China, and Taiwan which are covered the weekly data from 2009 to 2011. Empirical results shows that all the selected portfolios are all statistically enhanced when the Income Trust is included, even the forex rate risk considered.
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