REITs资金配置优化——基于京、沪、深、渝四市的实证研究

Empirical Studying on REITs Fund Allocation Optimization: Based on Beijing,Shanghai,Shenzhen,Chongqing

本文运用CAPM模型,利用2000年10月到2010年10月的月度中房指数对北京、上海、深圳、重庆四个城市的REITs资金配置进行优化研究。研究结果表明对同一城市的不同物业类型进行投资,住宅投资的风险相比办公楼投资风险大;从区域投资分散化看,深圳的投资收益率高于房地产市场综合收益率,上海和北京接近,但从风险的角度来看,深圳和上海的投资风险最大,北京次之,重庆的投资风险最小。最后作者提出风险控制模型、资金投向、经济周期认识等相关对策。

Using CAPM model,the author apply monthly housing index from October 2000 to October 2010 in Beijing,Shanghai,Shenzhen and Chongqing to optimize the allocation of funds of REITs.The research shows that residential investment risk is larger than office building risk for the different types of investment properties of one city.From the regional investment diversification perspective,the rate of return of Shenzhen＇s real estate market is higher than Real Estate Market Integration yields,the rate of return in Shanghai is the same in Beijing,but from the risk perspective,the investment risks of the Shenzhen and Shanghai are the largest than other cities,followed by Beijing,Chongqing has the minimum investment risks.Finally the paper proposed solutions including risk controlling model,capital flow,learning economic cycles.