| Summary: | 碩士 === 國立臺北大學 === 不動產與城鄉環境學系 === 106 === It has been 10 years since the financial crisis and it is the biggest financial event in twenty-first century. The entire asset market has been seriously damaged and there are still tons of uncertainties around. The United States, as the place of origin of financial crisis, is the largest market of real estate in the world and with the most number of REITs. Therefore, this study will focus on the US market and examine the change in the real estate market after the financial crisis.
This paper takes the first quarter of 1994 to the second quarter of 2017 as the research period and the period is divided into three parts by when the financial crisis event happened, namely before, during and post the financial crisis. We want to see if American real estate market does better after some major financial crisis with the benefits of risk diversification and more profitable outcomes given the risk factor is to be considered. Furthermore, to find out the characteristics of different sectors based on their responses to financial crisis.
According to the study, the Sharp Ratio demonstrated that REITs were less affected than the real estate during the financial crisis at the same consideration of risk. After the financial crisis, the correlation coefficient between private market and REITs in the submarkets such as office, retail, residential, industrial and hotel increased, indicated that the relationship between the two was more relevant and they affected each other. Finally, we examine the diversified investment effects of REITs in various market segments in the real estate portfolio from the third quarter of 2009 to the second quarter of 2017. Residential REITs are better in risk diversification and with more profitable outcomes in every sector and yet the timber industry is the least so.
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