房地产投资基金投资组合策略实证研究-企业管理专业论文.docxVIP

Classified Index：F293.30 U.D.C.：33 Dissertation for the Master Degree in Management EMPIRICAL RESEARCH ON REITs PORTFOLIO SELECTION Candidate: Chen Xiaojuan Supervisor: Associate Prof. Tian Qing Associate Supervisor: Prof. Wang Susheng Academic Degree Applied for: Master of Management Specialty: Enterprise Management Affiliation: Shenzhen Graduate School Date of Defence: June, 2006 Degree-Conferring-University: Harbin Institute of Technology 摘 要 房地产业是国民经济支柱产业之一，而目前我国房地产开发企业基本上 遵循的是一条自我积累、滚动开发的企业发展模式，形成了自有资金---银 行信贷---施工企业垫资---按揭回款的简单资金循环链，房地产融资中 70% 左右资金来自银行，存在较大的金融风险。因此房地产企业能否建立健全多 渠道的房地产融资体系，已成为企业发展的瓶颈。在此背景下，房地产投资 基金作为一种新的融资工具在我国具有发展的重大意义。 本文对房地产投资基金投资组合策略做了系统研究，并在房地产投资基 金的投资收益与风险分析与经典投资组合理论分析的基础上，提出新的优选 资产方法，并推导出相关模型。然后通过实证研究证明模型结论有效性。得 到如下研究成果：(1)模型结论在地域性投资组合分散上起作用，可以利用 这个结论提前挑选资产优化资产配置，减少参与投资组合资产的数量。(2) 模型结论在不同房地产类型投资组合分散上起作用，可以利用这个结论提前 优化资产，减少参与投资组合资产的数量。(3)根据市场波动情况，可以利 用β2 值来调整现有投资组合以减少风险提高收益，实证研究证明调整作用 显著。以上这些成果对房地产投资基金投资组合优化和资产调整，具有理论 和实践的双重意义。 关键词 房地产投资基金 ；投资组合 ；地域分散 ；类型分散 ；资产调整 I - Abstract Real Estate Industry is one of the main industries in our country. But Financing Mode of Real Estate Development Enterprises is self-accumulation to expand production. Loans are the chief financial source. In this background, the market can bring enormous financial risk. So creating financing tool is the key to change the present situation of lack of own capital and excessively depending on loan of the bank in the real estate industry. The development of real estate industry to a certain level calls for the emergence of real estate investment funds (REITs). This paper first analyzes the investment characteristics of real estate investment funds, income risk and the classical theory of portfolio. A new kind of the optimum choice on the capital collocation has been put forward in this paper. This paper proposes the calculating formula and proves its applicability by an empirical variation study. The conclusion drawn from this paper provides: First, at the strategic as