부동산투자회사의 수익-위험 특성에 관한 연구
A Study on Risk-Return Characteristics of Korean REITs
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REITs owns the real estates as major assets so that it generates steady and predictable cash flows through leasing, and can be publicly traded in the stock market. Due to these rewarding characteristics, REITs shall become a very specific product compared to other financial ones in regard of risk and return.This study aims to clarify the outstanding characteristics of K-REITs in term of risk and return by comparing with the other common stocks and bonds.According to the result of this empirical study, K-REITs has well performed with high return, yet very low risk in comparison with bonds and other common stocks. Moreover, REITs shows a very low correlation with common stocks and bonds, KOSPI’s Betas have displayed merely around zero in market model.It is thus verified that REITs is strongly capable of an outstanding contribution to portfolio diversification and performance in our capital market.
Abstract
>REITs owns the real estates as major assets so that it generates steady and predictable cash flows through leasing, and can be publicly traded in the stock market. Due to these rewarding characteristics, REITs shall become a very specific product compared to other financial ones in regard of risk and return.This study aims to clarify the outstanding characteristics of K-REITs in term of risk and return by comparing with the other common stocks and bonds.According to the result of this empirical study, K-REITs has well performed with high return, yet very low risk in comparison with bonds and other common stocks. Moreover, REITs shows a very low correlation with common stocks and bonds, KOSPI’s Betas have displayed merely around zero in market model.It is thus verified that REITs is strongly capable of an outstanding contribution to portfolio diversification and performance in our capital market.
참고문헌 (13)
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- "On the Time-Series Properties of Real Estate Investment Trust Betas", 33(2), pp.381~396 (2005)
- "Commercial Real estate Analysis and Investments", pp.623~651 (2001), South-Western Public
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- "A REIT Return Behavior in Advancing and Declining Stock Markets", 15(4), pp.68~77 (1999)
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- "Risk and Return in Real Estate Evidence from a Real Estate Stock Index", 29 (1993)
- "NAREIT Chart Book" (2006)
- "Do common risk factors in the return on stocks and bonds explain returns on REITs?", 25(2), pp.321~345 (1997)