美國次級房貸市場快速信用擴張，解釋了何以美國次級房貸市場違約率快速上升、房價的泡沫化。而販賣次級房貸相關商品的金融界機構及所產生的道德危機，就是造成此次次級房貸危機的犯罪者。本研究主要目的之ㄧ，就是將對於美國次級房貸市場如何發展起來、次級房貸危機的起因與主因、及其對美國與其他國家的影響進行了詳細的闡述。 　　而實證部份，採用多元迴歸分析，分別以美國抵押型不動產投資信託基金（REITs）與台灣發行之八檔上市上櫃不動產投資信託基金為研究對象，並利用房屋貸款成長率與GDP成長率之差額作為衡量房屋市場信用擴張程度及房貸違約率兩變數來探討其是否會反應在美國與台灣REITs市場。結果發現不管是美國抵押型REITs或是台灣的權益型REITs的風險溢酬皆沒有充分反應房貸信用擴張及房貸違約率所造成的影響，亦即兩者的風險溢酬皆有被低估的現象。而不管是美國次貸風暴或是實證結果皆可以發現市場上存在訊息不對稱的現象。 / The rapid expansion in the supply of mortgages driven by disintermediation explains a large fraction of recent U.S. house price appreciation and subsequent mortgage defaults. And the moral hazard on behalf of originators selling mortgages is a main culprit for the U.S. mortgage default crisis. The first goal of this study is to explain what is subprime mortgage and investgate the causes of subprime mortgage crsis. And also show how this crsis affect this world. This study uses the U.S. Mortgage Real Estate Investment Trusts and Equity Real Estate Investment Trusts in Taiwan as empirical objects, and intends to understand how the credit expansion in house mortgage market and delinquency rates impact the risk premium of the Real Estate Investment Trusts. The result is both variables are not significantly positive effect on the risk premium of the Real Estate Investment Trusts in U.S. and Taiwan. And no matter the subprime mortgage crsis or the empirical results, we can explain these phenomenons by”Asymmetric information”.