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The first chapter investigates how corporate governance influences firms’ capital structure behavior. Based on the premise that costs associated with deviations from the target capital structure are positively correlated to the extent of deviation, we hypothesize that the initial deviation from the target will be shorter for a firm with good corporate governance than for a firm with poor corporate governance. We also hypothesize that the former group will employ a higher speed of adjustment towards target than the latter group due primarily to the following reasons. First, a firm with well-placed governance system will adjust at a faster rate because longer it stays deviated, the higher the loss of value it faces. Second, firms with better governance structures enjoy lower adjustment costs. We develop three sets of measures for the quality of corporate governance and analyze how they influence a firm’s rebalancing behavior in presence of relevant control variables. Our results are consistent with the hypotheses. The second chapter explores investors’ reactions to new information on REITs and non-REITs option markets. The real estate market can be fairly volatile; what remains unclear is whether price changes are excessively volatile relative to fundamentals. This study attempts to examine the latter by using the methodology based on Stein (1989), which utilizes option data. The advantage of using option data rather than stock data to assess the reactions to information is that option valuation is not affected by changes in risk premium. Under volatility mean reversion, the changes in implied volatilities of long-term options should be less than those of short-term options. If not, an excessive reaction is suggested. Specifically, the study compares the changes in implied volatilities of options on REITs and non-REITs. Because real estate transactions typically involve a great degree of leverage, reactions can be greater for REITs than for non-REITs; on the other hand, there are several reasons that REITs are subject to potentially a lower degree of excessive reactions. Empirical results indicate that the reactions to information are stronger in non-REITs than in REITs. Moreover, we find that down markets are associated with stronger reactions, which we argue might be due to a leverage effect.

Made available in DSpace on 2016-04-25T18:40:02Z (GMT). No. of bitstreams: 1 Gianni Flavia Teixeira.pdf: 4781510 bytes, checksum: 671d5552237b4de9f7ab44ca0ca99aea (MD5) Previous issue date: 2014-12-01 / The objective of this study is to investigate the historical behavior of the quotas of real estate investment trusts (REITs) issued at BM&FBovespa (Brazilian Stock Market).The secondary objectives are analyse the REITs`s performance and verify their benefits. The conclusion is that there were a combination of factors acting simultaneously to generate the building boom, which include high property prices, low interest rates, and economic stabilization (2009-2012). Furthermore, the reduction of savings and mortgage financing propagated mainly by the SBPE (Brazilian System of Savings and Loan) and the FGTS (Fund Guarantee for Time of Service). The results show that the real estate industry towards the end of 2012 and mid-2013 was in a phase of slowdown evidenced by the falling prices of quotas of REITs, reduction of foreign capital, retraction of issuing certificates of real estate receivables (CRI) market and additional factors. However, there are opportunities to prospecting developments in Brazil. The good management of the REITs and evaluation of their risks involved to the acquisition of new assets, it can create new income and increase the value to the shareholder / O objetivo deste trabalho é investigar o comportamento histórico das cotas de FIIs emitidas na BM&FBovespa. Os objetivos secundários são analisar o desempenho dos FIIs e verificar seus benefícios. A conclusão é que houve uma conjunção de fatores atuando simultaneamente na geração do boom de construções e alta de preços dos imóveis (2009-2012). Tais como: baixa da taxa de juros, estabilização econômica, redução da rentabilidade da poupança e financiamentos de crédito imobiliário, propiciados principalmente pelo SBPE (Sistema Brasileiro de Poupança e Empréstimo) e pelo FGTS (Fundo de Garantia por Tempo de Serviço). Os resultados demonstram que o setor imobiliário, ao final de 2012 e meados de 2013 está em uma fase de desaquecimento evidenciada pela queda de preços das cotas de FIIs, redução da captação de capital estrangeiro, retração da emissão de certificados de recebíveis imobiliários (CRI) no mercado, entre outros fatores. Mas, existem grandes oportunidades de prospecção de empreendimentos imobiliários no Brasil, que com a prática de uma boa gestão e avaliação dos riscos inerentes à aquisição de novos ativos, pode gerar novos rendimentos e aumento de valor para os acionistas

本研究係利用財務理論定價模型之實質選擇權擴張情境模式，以三項式選擇權評價方法，評估現行上市的不動產投資信託商品（REITs）的合理價值。並選定富邦一號與二號、國泰一號與二號、新光一號等5檔REITs商品進行評價分析。 　　經研究結果，其中有4檔REITs評價價值與其2010年財報淨值非常接近；此外，並有其中3檔REITs的評價價值，相對於財報的每股淨值，更為接近實際股票市場交易的最高價格，證明本研究的三項式選擇權評價模型可適用於REITs商品的評價方法。 / This paper employs the Trinomial Real Option Pricing Model for the valuation of Real Estate Investment Trusts (REITs). The following five REITs in Taiwan (or T-REITs) are selected for empirical analysis: Fubon No.1 and No.2 REITs, Cathay No.1 and No.2 REITs, and Shin Kong No.1 REITs. Results show that the values of four T-REITs values from the valuation model are very close to their book value in the end of 2010, and three T-REITs values are also similar to their highest prices in the exchange market. Conclusions of this study imply that the Trinomial Real Option Pricing Model may serve as a good approach for the valuation of REITs prices.

This study examines the relationship between the performances of US equity REITs and the market risk premium, SMB, HML, MOM as well as an industry index and a real estate index. The statistical significance of the abnormal returns and the beta coefficients of independent variables are examined. The REITs are categorized in seven groups according to their investment areas and the analysis results are compared. Daily return indexes of US equity REITs are collected for the period between 2005 and 2011. These data are then used to estimate the Capital Asset Pricing Model (CAPM) of Sharpe (1964) and Lintner (1965), the Fama and French&rsquo / s 3-Factor Model (1993) and Carhart&rsquo / s 4-Factor Model (1995). These models are re-estimated by adding an industry and a real estate index. The empirical results show that these added independent variables improve the available models. Additionally, no abnormal return is detected for REITs and their returns have a positive correlation with the SMB and HML factors and a negative correlation with the MOM factor. Therefore,, the REITs are relatively small and have high book-to-market ratios. The negative MOM coefficients indicate that the losers will win and the winners will lose.

Submitted by Vitor Morais Morosine (vitor@provencecapital.com.br) on 2018-03-06T19:07:56Z No. of bitstreams: 2 Dissertação - Vitor Morais Morosine 335746 - Versao Aluno v8.pdf: 660622 bytes, checksum: 122ee896e26c34a32e3335ed6c982326 (MD5) Dados.xlsx: 228489571 bytes, checksum: 7171ad313bf5fd610a2499852272c754 (MD5) / Rejected by Thais Oliveira (thais.oliveira@fgv.br), reason: Boa noite, Vitor. Para que possamos aprovar sua Dissertação, será necessário que faça as alterações abaixo: - Na capa, o nome "Getulio" não tem acento, e seu nome completo deve estar em letra maiúscula; - Na contracapa não deve conter o nome da Escola, somente na capa; - A data da Aprovação deve estar em branco, sem preenchimento; - Os títulos "ACKNOWLEDGMENTS" e "TABLE OF CONTENTS" devem estar em negrito, letra maiúscula e centralizados na página. Por gentileza, alterar e submeter novamente. Qualquer dúvida, entre em contato. Att, Thais Oliveira mestradoprofissional@fgv.br 3799-7764 on 2018-03-07T23:59:45Z (GMT) / Submitted by Vitor Morais Morosine (vitor@provencecapital.com.br) on 2018-03-08T12:42:32Z No. of bitstreams: 2 Dados.xlsx: 228489571 bytes, checksum: 7171ad313bf5fd610a2499852272c754 (MD5) Dissertação - Vitor Morais Morosine 335746 - Versao Aluno v9.pdf: 660369 bytes, checksum: 612676a0eaa2fde9e48d52e783e806bc (MD5) / Approved for entry into archive by Thais Oliveira (thais.oliveira@fgv.br) on 2018-03-08T18:19:13Z (GMT) No. of bitstreams: 2 Dados.xlsx: 228489571 bytes, checksum: 7171ad313bf5fd610a2499852272c754 (MD5) Dissertação - Vitor Morais Morosine 335746 - Versao Aluno v9.pdf: 660369 bytes, checksum: 612676a0eaa2fde9e48d52e783e806bc (MD5) / Made available in DSpace on 2018-03-09T12:41:54Z (GMT). No. of bitstreams: 2 Dados.xlsx: 228489571 bytes, checksum: 7171ad313bf5fd610a2499852272c754 (MD5) Dissertação - Vitor Morais Morosine 335746 - Versao Aluno v9.pdf: 660369 bytes, checksum: 612676a0eaa2fde9e48d52e783e806bc (MD5) Previous issue date: 2018-02-07 / Utilizing a database from B3 (formerly BM&FBOVESPA), we have analyzed if financial institutions that provide Custody and Asset Management within the Real Estate Funds industry and also have a distribution business such as a Private Banking or Financial Advisory unit tend to trade more of its own securities than what would be expected under a non-conflicted situation and without any informational advantage. Our study englobes all transactions realized through B3 from March of 2015 to April of 2017 for the 101 most liquid Real Estate Funds and the results indicate that all financial institutions that are prone to conflicts of interest tend to exploit it. Without exception, they negotiate much more of their own securities that what would be expected if the Distribution and Asset Management business were completely independent, whereas firms that are not conflicted tend to act more in line with what would be expected, although not uniformly. Our data also suggests that conflicted financial institutions tend to underperform the reference Index. / Utilizando uma base de dados da B3 (antiga BM&FBOVESPA), analisamos se instituições financeiras que fazem a administração e custódia de Real Estate Funds e também tem uma plataforma de distribuição como Private Banking ou Assessoria Financeira tendem a negociar mais dos seus ativos do que o que seria esperado em uma situação sem conflito de interesses ou vantagem informacional. Nosso estudo abrange todos as negociações realizadas em bolsa entre Março de 2015 e Abril de 2017 para os 101 Real Estate Funds mais líquidos. Os resultados indicam que todas as instituições financeiras que estão sujeitas a situação de conflito de interesse – definida como ter ao mesmo tempo gestão e distribuição de Real Estate Funds – sucumbem a tal conflito, enquanto instituições não conflitadas se comportam em linha com o que seria esperado de agentes isentos, embora não de maneira uniforme. Nossos dados também indicam que a maior parte das instituições financeiras conflitadas tende performar menos do que o índice de referência.

This thesis consists of three essays on the behavior of corporate insiders and the optimal regulation of insider trading. The first of these three essays examines the welfare effects of insider trading and its attributes as an executive compensation mechanism; in addition, an optimal regulation of insider trading in the light of the model is proposed. The second essay analyzes another facet of insider trading: whether insiders can be a source of liquidity and act as traders of last resort on their companies' stock; moreover, the effects of transactions by insiders and by the company itself on the distribution of stocks returns are compared empirically. Finally, the topic of the third essays is the dynamics of insiders' holdings, and how these dynamics are a function of the number of large shareholders in the firm; the conclusions are empirically tested for Real Estate Investment Trusts.Aquesta tesi conté tres assajos sobre el comportament dels agents corporatius y la regulació de la compravenda d'accions amb informació privilegiada. El primer examina l'efecte de la negociació amb informació privilegiada y la seva utilitat com a mecanisme de compensació; es proposa una regulació de la negociació amb informació privilegiada. El segon assaig analitza si els agents corporatius són una font de liquiditat y actuen com a comerciants d'últim recurs per a les accions de la seva companyia; també es comparen empíricament els efectes de la negociació per part dels actors corporatius amb els de la negociació per part de les mateixes empreses en la distribució dels rendiments de les accions. L'últim assaig estudia la dinàmica de les carteres d'aquest actors en accions de les seves pròpies empreses, i com aquesta dinàmica es funció del nombre d'actors corporatius a l'empresa; les conclusions es testegen empíricament per a fons d'inversió immobiliària.

估價平滑相關研究大多採取Quan and Quigley（1991）提出的理性行為解釋估價師的部分調整行為。然而財務行為學認為行為人通常具有非理性的行為，因此本研究以保守性心理偏誤解釋部分調整行為，探討非理性心理對於估價師之影響。為了捕捉估價師個體的行為資訊，本研究以台灣不動產投資信託的重估價結果作為研究資料，檢視估價師對市場新資訊和過去估值的處理行為。本研究首先應用部分調整模型進行實證分析，結果發現台灣估價師確實具有部分調整行為，相對較低估市場價值資訊的權重，而此類保守性偏誤即為總體估價平滑效果的展現。此外進一步以Tobit Model進行市場價值資訊權重的影響因素分析，結果發現市場資訊的權重會受到心理效果而改變，當估價方法價值差異率越大時，估價師會降低市場資訊的權重，展現了對模糊事件的趨避傾向。捷思法可以幫助估價師提升效率，但過度依賴捷思法亦有可能引發錯誤和偏差；本研究發現模糊趨避效果顯示估價師更重視市場資訊的可信度，似較符合估價證據之要求，故非理性心理偏誤對估價師言非全為負面影響。 / Previous appraisal smoothing studies were based on the appraiser rational behavior assumptions which developed by Quan and Quigley (1991) and found that appraisers do insufficiently react to market fluctuate. However, this paper starts with behavioral finance theory to investigate the partial adjustment behavior of Taiwan appraisers, using the reappraisals of Taiwan Real Estate Investment Trust (T-REITs) to show each appraiser’s behavioral intention at disaggregate level which could be diversified away at aggregate level. This study tests the partial adjustment model to observe the weights of new market information and previous estimates of the same property reappraisal. The results show that Taiwan appraisers more rely on the previous estimates, namely the conservatism bias, which will induce the appraisal smoothing at aggregate level. Further, the Tobit Model is employed to test the influence factors of appraisers’ weight on new market information, and the results show weights on new market information will be affected by appraisers’ heuristics. There is a negative effect to weights on new market information which stands for the ambiguity aversion of appraisers. It shows appraiser do concern about the reliability of market evidence which is much accord with the appraisal normative model.

不動產證券化條例於2003年7月23日公佈實施以來，不動產投資信託受益證券(REITs)和不動產資產信託受益證券(REATs)均已發行多檔，信託財產種類含括辦公室、百貨公司、旅館、商務住宅等；不動產產權型態包含所有權與設定地上權二類。然而「設定地上權的不動產」其資產價值會隨著時間而遞減的特性，對於以封閉型態上市的REITs基金而言，將產生淨資產價值(NAV)不斷下跌的問題，為避免前項問題影響基金的市價(Market Price)表現，本研究將透過「中崙大樓」出售予「富邦二號不動產投資信託基金」的實施經驗、相關財務理論的佐證及專家學者的深度訪談，來研究提撥「投資本金攤提準備金」(Reserve Fund)機制的優缺點及替代方案。 本研究結果發現，在不動產市場穩定發展的情況下，Reserve Fund除了可對投資人產生節稅效果之外；對基金而言：可避免基金之淨資產價值(NAV)隨時間不斷遞減的問題、可供地上權到期時還本之用、得以分散投資風險並發揮良好的財務槓桿的效果。然而相對的，除非基金的年營收維持每年固定上漲，否則投資人的名目收益率可能會逐年下降，並產生資金運用的無效率狀況。 至於是否ㄧ定要提撥Reserve Fund，從本研究中發現，若從投資人偏好來看，所有淨收益每年均全部發放或設計為PO、IO二個群組，或發行有期限的Finite Life REITs都是可以替代的方案。從開發商的角度，則可以將應收租金債權設計為金融資產證券而不做REITs。 此外，本研究亦發現目前台灣REITs的投資人幾乎將REITs視為固定收益證券，致使其市價波動及成交量均極小，建議政府應放寬法令限制，致力於活絡交易市場，才能達到初衷。而受託機構應扮演更積極的角度並將其與管理機構間的責任與分工進一步釐清，以避免發生管理機構的代理問題，以期更健全市場的發展。 不動產證券化就是將金融商品的彈性注入不動產的開發，本研究為設定地上權的不動產找出參與REIT的配套機制，期許能對政府及產業有所貢獻。 / The Real Estate Investment Trust (REITs) and Real Estate Asset Trust (REATs) securities had been issued since the “Real Estate backed securities Act” published on July 23rd, 2003. The properties being entrusted, for instance, office buildings, department stores, hotels, business suite, etc.. The right of property can be divided into two parts: the ownership and the superficies on land；However, the value of the properties with superficies right will be decreased when time passes by. The close-end fund will continually decline of Fund’s net asset value (NAV), and indirectly affect its market price. To solve such problems, the purpose of this research paper is to discuss the solution of the Reserve Fund design when the Chung-Lung building, offered by “ Fubon REITs no.2” , has its financial theories implication, also tried to interviews of scholars and professionals for the suggestions. From the result of this research paper, when the real estate market is at its steady growing stage, the Reserve Fund design can not only accurately solve to the problem of decreasing Fund’s NAV with time, but also it can bring such benefits as tax-saving and principle-paying at the expiration date. Moreover, the growing amount of Reserve Fund can positively benefit the fund itself by diversification and higher leverage capability. On the contrary, unless the revenue of the fund keeps constant growing, the investors’ nominal yield of return might decrease year by year, which will result in inefficiency in the usage of investment capital. For the Reserve Funds design, from the view of investors’ preference points, we find that the revenue allotment or issued Finite Life REITs could be substituted. On the other hand, from the view of developers’ points, they may regard it as a CMBS rather than REITs. If the government can abstemiously open financing limits of REITs, we can refer as company、SPC or SPT types of USA or Japan to substitute for the Reserve Funds design. The stock market of the real estate is the financial commodities will be more flexible to input the development of the real estate. The study of research paper is to form a complete set of REITs mechanism for the superficies on land of property which can be contributed for the government and industry of the real estate.

台灣不動產投資信託（T-REITs）自2005年發行至今已逾六年，然其市場表現仍不如發行之初所預期。過去國內已有許多研究針對T-REITs市場發展進行探討，然而目前就T-REITs與直接不動產投資市場價格表現間之相關研究尚付之闕如。有鑑於此，本研究藉由共整合與Granger因果關係檢定，檢視REITs與直接不動產市場間之關聯性，了解台灣與美國之REITs市場表現差異及其影響因素，進而作為改進T-REITs運作機制或架構之參考依據。 實證結果發現，美國之REITs與直接不動產市場之間存在共整合關係。此結果表示，長期而言，這兩者可能具有相似之風險分散效益。此外，透過Granger因果關係檢定發現REITs領先於直接不動產，乃因前者市場較具效率。另一方面，台灣之REITs與直接不動產市場之間則不具有共整合以及領先或落後關係，然直接不動產當期價格仍會受到本身與REITs之前期價格影響。 本研究進一步分析台、美兩國實證結果之差異原因如下：資料的樣本期間、REITs市場規模、存在於T-REITs市場之集中性風險以及潛在的代理問題。其中，針對T-REITs潛在代理問題，本研究藉由分析股票與T-REIT報酬率之波動性，發現T-REIT之不動產管理機構若與母集團相關者，則其市場表現較差。因此，我們得出T-REITs市場發展主要是受限於代理問題之結論。本研究成果不僅有助於改善T-REITs市場效率，亦可提供學術與實務之參考。 / The mechanism of Real Estate Investment Trusts in Taiwan (or T-REITs) was launched in 2005, however, T-REITs market did not perform as expected. What caused the limited development of T-REITs market? Current literature on the performance between T-REITs and direct real estate investment is limited. Through the cointegration and Granger causality tests, the purpose of this study is hence to explore the short-term and long-term dynamics between REITs and direct real estate markets in the U.S. and Taiwan, respectively. This study presents evidence of the cointegration relationship between REITs and direct real estate in the U.S. It implies that the diversification properties of these two assets are likely to be similar over the long horizon. According to the Granger causality test, REITs leads direct real estate due to the market information efficiency. These findings are consistent with those of previous studies. On the other hand, we find no cointegration and lead-lag relation between T-REITs and commercial real estate. Moreover, the current commercial transaction price is affected by both its and T-REIT previous price. By comparing the difference between the results of these two countries, there are several possible explanations for the different results between the U.S. and Taiwan, including difference in sample period, market capitalization, concentrated risk, and most importantly, the potential agency problem existing in T-REITs market. Finally, the underperformance of parent-related management T-REIT is verified through the volatilities of stock and T-REIT returns. Therefore, we conclude that the limited development of T-REITs is caused by the agency problem in REITs market. Results of this study may provide T-REITs market for improving its efficiency, as well as for the reference for both academics and real practices.