本文主要探討國內不動產證券化商品(REITs)流動性與報酬的關係，研究期間為2005 年三月至2008 年12 月，主要有八檔國內發行REITs 基金。本文發現以分量迴歸方法驗證流動性對於報酬影響是具有顯著影響性，同時規模對流動性具有抵銷作用。最後以GARCH 模型實證對報酬的影響因素發現，通貨膨脹與利率的變動率具有顯著影響力，同時報酬仍受到與時俱變風險影響。 This thesis examined the relationship between liquidity and returns evidence of the domestic REITs market. The collected data included 8 different funds of REITs during the period of March 2005 to December 2008. Utilized the quantile regression, we found that the liquidity exhibits a significant impact on the returns of REITs and the factor of size may offset the change in liquidity. Finally, we showed that the Consumer Price Index and the change rate of interest could influence the returns of REITs in a GARCH model, in particular, a time-varying risk could also affect the returns.
