本文主要在研究美國房地產證券化商品-權益型 REITs 中是否存在泡沫，研究
方法主要是將權益型 REITs 的真實對數股利-價格比率拆解成基本面與無法被解
釋的殘差兩部分，先將基本面的股利-價格比率透過現值模型來衡量，再將無法
解釋的殘差部分使用單根檢定來檢測是否為非定態，若結果為非定態則可以證實 泡沫的存在。實證結果顯示，本研究並沒有找到顯著證據證明美國權益型 REITs 存在泡沫，儘管研究中發現權益型 REITs 的股利-價格比率在過去金融危機發生 時會有較高的比率，但長期下不能被解釋的殘差序列還是服從定態，代表短期不 正常的價格能夠透過證券化市場的放空機制回復正常。

This article examines if there is a bubble in the US equity REITs. The main method in this research is to disassemble the real log dividend-price ratio of equity REITs into two parts: the fundamentals and the unexplainable residuals. First, using Present Value model to measure the fundamentals, and then detecting whether the unexplainable residuals is nonstationary or not via Unit root test. If the result is nonstationary, it means that the existence of bubbles can be confirmed. The empirical results show that there is not any significant evidence found to prove the existence of bubbles in US equity REITs. Although the dividend-price ratio of equity REITs had high ratio during the financial crises, the sequence of unexplainable residuals is still subject to be stationary in the long run. Therefore, it means that the short-term abnormal price can be restored to normal via the short-selling activities of the securitization market.

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