국내 REITs의 수익률과 조건부 이분산 모형을 이용한 리스크 분석
An Analysis on Domestic REITs Return & Risk Using GARCH-M Model
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This paper focuses on the risk and return of REITs portfolio. The interest for risk has been more increased due to recent global financial crisis. There has been, however, little research about the risk of domestic REITs. This paper analyzes Korean listed REITs' beta, alpha, and risk-adjusted return and risk characteristics of individual REITs by using GARCH-M models. KOSPI, BOND and REITs Return are used for the analysis as independent variables. The result shows that REITs have low risk characteristics, comparing to the KOSPI. In addition, Most of individual REITs risk-adjusted returns excess the stock market return. It can also be concluded that REITs return is more influenced by real estate risk, when the market is stable. However, after financial crisis, REITs return is done by uncertainty and stock market risk. This results give fund managers and investors information and implication for the difference of risk characteristic before and after the financial crisis.
Abstract
This paper focuses on the risk and return of REITs portfolio. The interest for risk has been more increased due to recent global financial crisis. There has been, however, little research about the risk of domestic REITs. This paper analyzes Korean listed REITs' beta, alpha, and risk-adjusted return and risk characteristics of individual REITs by using GARCH-M models. KOSPI, BOND and REITs Return are used for the analysis as independent variables. The result shows that REITs have low risk characteristics, comparing to the KOSPI. In addition, Most of individual REITs risk-adjusted returns excess the stock market return. It can also be concluded that REITs return is more influenced by real estate risk, when the market is stable. However, after financial crisis, REITs return is done by uncertainty and stock market risk. This results give fund managers and investors information and implication for the difference of risk characteristic before and after the financial crisis.
참고문헌 (20)
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