REITs 투자의 인플레이션 헷징에 대한 국제적 실증분석
Hedging Effect of REITs Returns against Inflation : An International Empirical Evidence
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초록
There has been many studies about an empirical analysis to see whether the common stock is a hedge against inflation as the real asset or not. But the conclusion that could be obtained through many studies do not come to opinions in accord. Then It may be questioned whether REITs stock based underlying asset on real estate is a hedge against inflation or not. This study was the first to try an international empirical analysis to see the ability of existing REITs stock is a hedge against expected and unexpected inflation in Korea. How we estimate expected inflation is crucial to the success of this study. So this study is estimated expected inflation by the method of weighted average expected hypothesis to enhance the rational of an empirical analysis and performed to examine the hedge effect of expected and unexpected inflation of Korea, America and Japan. The conclusion that could be obtained through this paper is as follows;First, America showed that REITs stock is regarded as good hedge against expected inflation on the monthly, but expected and unexpected inflation on the quarterly test. Second, in our country, REITs stock is regarded as an insignificant hedge against unexpected inflation but there is no hedge against expected one. Third, in Japan, as in many foreign countries, REITs stock is not regarded as a hedge against expected and unexpected inflation. The conclusion of this paper showed that REITs stock different from the common stock is a hedge asset against inflation in the country of more advanced REITs stock market. It is similar to the most of recent studies in other countries.
Abstract
There has been many studies about an empirical analysis to see whether the common stock is a hedge against inflation as the real asset or not. But the conclusion that could be obtained through many studies do not come to opinions in accord. Then It may be questioned whether REITs stock based underlying asset on real estate is a hedge against inflation or not. This study was the first to try an international empirical analysis to see the ability of existing REITs stock is a hedge against expected and unexpected inflation in Korea. How we estimate expected inflation is crucial to the success of this study. So this study is estimated expected inflation by the method of weighted average expected hypothesis to enhance the rational of an empirical analysis and performed to examine the hedge effect of expected and unexpected inflation of Korea, America and Japan. The conclusion that could be obtained through this paper is as follows;First, America showed that REITs stock is regarded as good hedge against expected inflation on the monthly, but expected and unexpected inflation on the quarterly test. Second, in our country, REITs stock is regarded as an insignificant hedge against unexpected inflation but there is no hedge against expected one. Third, in Japan, as in many foreign countries, REITs stock is not regarded as a hedge against expected and unexpected inflation. The conclusion of this paper showed that REITs stock different from the common stock is a hedge asset against inflation in the country of more advanced REITs stock market. It is similar to the most of recent studies in other countries.
참고문헌 (31)
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- "kostat"[URL]
- "bok"[URL]
- "tse"[URL]
- "nareit"[URL]