상장리츠의 수익, 위험, 그리고 재무적 특성: 2010~2015
Risk, Return and Financial Characteristics of Publicly Traded REITs: 2010~2015
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Abstract
This article examines the risk-return characteristics of Real Estate Investment Trusts (REITs) listed on the Korea Exchange (KRX) from 2010 to 2014, a period of stagnant growth in the real estate and equity markets. Two indexes composed of publicly traded REITs have slightly higher returns, risk and Sharpe ratios relative to the KOSPI200 equity index but lower returns, higher risk and lower Sharpe ratios relative to the KRW Cash government bond index. The REITs also have weak positive correlations with the equity index but weak negative correlations with the government bond index, illustrating their diversification potential within the framework of a mixed-asset portfolio. We employ the Sharpe-Lintner CAPM, the Fama-French three-factor model and the Carhart four-factor model to measure REITs’ exposure to systematic risk factors and evaluate their risk-adjusted performance. Overall, the market premium alone appears to have statistically significant effects on the excess returns of REITs. Self-managed REITs with more volatile prices and lower dividend yields tend to have higher beta coefficients. Finally, we look into correlations between REITs’ financial metrics and their systematic and unsystematic risks. Results show that the interest coverage ratio, market capitalization and dividend yield have moderate to strong negative correlations with unsystematic risks whereas the interest coverage ratio and market capitalization have moderate negative correlations with the beta coefficient. This finding underscores the importance of factors such as business profitability and stability when managing or investing in REITs.
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