소비베타로 측정한 오피스 투자위험의 결정요인
The Determinants of the Office Investment Risk Measured by Consumption Beta
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This study analyzes the determinants of the investment risk embedded in the office buildings in Seoul, Korea. The risk is measured by the consumption beta estimated by Consumption-based CAPM, which is proved to be useful to explain the risk of real estate in Korea by previous literature. The determinants are selected among the characteristics of the office buildings, and time-varying macroeconomic variables are controlled by matching the time periods. The empirical result says that (1) CBD location (-), commercial zone in land use plan (+) and wide adjacent road (+) among locational factors, Deposit to Rent Ratio (-) among operational factors, appraisal value (+), Loan to Value Ratio (+) and the proportion of income return (-) among financial factors are significant with marked direction. However, the signs of commercial zone in the land use plan (+), wide adjacent road (+) and appraisal value (+) are opposite from general belief. Investors should consider these characteristics of the office market in Seoul, Korea (2) The estimation power of regression model is not sufficient, but the classification power of logistic regression model is useful. The correctness of classification reaches 81.38%
Abstract
This study analyzes the determinants of the investment risk embedded in the office buildings in Seoul, Korea. The risk is measured by the consumption beta estimated by Consumption-based CAPM, which is proved to be useful to explain the risk of real estate in Korea by previous literature. The determinants are selected among the characteristics of the office buildings, and time-varying macroeconomic variables are controlled by matching the time periods. The empirical result says that (1) CBD location (-), commercial zone in land use plan (+) and wide adjacent road (+) among locational factors, Deposit to Rent Ratio (-) among operational factors, appraisal value (+), Loan to Value Ratio (+) and the proportion of income return (-) among financial factors are significant with marked direction. However, the signs of commercial zone in the land use plan (+), wide adjacent road (+) and appraisal value (+) are opposite from general belief. Investors should consider these characteristics of the office market in Seoul, Korea (2) The estimation power of regression model is not sufficient, but the classification power of logistic regression model is useful. The correctness of classification reaches 81.38%
참고문헌 (11)
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