REITs 수익률 변동요인에 관한 연구
A Study on the Sources of REITs Yield Fluctuations
0
조회
0
다운로드
4
인용
0
참고문헌
키워드
초록
It has been more than 8 years since the REITs system was first introduced in Korea. With Kyobo- Merits-First CR REITs as its embryo, Four REITs have so far been listed in the stock market in 2010; however, there has been no proper information on the basis of which one could tell what elements contribute to the forming of REIRs yield and whether REITs prices are predictable. This study has analyzed the sourses of REITs yield fluctuations by using the VAR model, and has verified how important the market basis value has become by analyzing the impulse responses and variance decompositions. The suggestions that are made from this study are as follows : 1. The variance of REITs is more low than that of stocks, and these result tells that REITs are stable assets. 2. It could be confirmed that Korean REITs yields are more influenced by short-term interest rate such as call interest than by mid-or long-term interest rate in accordance with a report of research of USA; thus, it is confirmed that volatility of short-term interest, exchange rate and stock prices indicators of the construction are useful in terms of investment strategy. 3. In the consumer inflation, the hedge effect of REITs is not accepted. 4. REITs has verified a useful commodity of investment strategy because of being very effective in the effect of diversification of risk.
Abstract
It has been more than 8 years since the REITs system was first introduced in Korea. With Kyobo- Merits-First CR REITs as its embryo, Four REITs have so far been listed in the stock market in 2010; however, there has been no proper information on the basis of which one could tell what elements contribute to the forming of REIRs yield and whether REITs prices are predictable. This study has analyzed the sourses of REITs yield fluctuations by using the VAR model, and has verified how important the market basis value has become by analyzing the impulse responses and variance decompositions. The suggestions that are made from this study are as follows : 1. The variance of REITs is more low than that of stocks, and these result tells that REITs are stable assets. 2. It could be confirmed that Korean REITs yields are more influenced by short-term interest rate such as call interest than by mid-or long-term interest rate in accordance with a report of research of USA; thus, it is confirmed that volatility of short-term interest, exchange rate and stock prices indicators of the construction are useful in terms of investment strategy. 3. In the consumer inflation, the hedge effect of REITs is not accepted. 4. REITs has verified a useful commodity of investment strategy because of being very effective in the effect of diversification of risk.
참고문헌 (30)
- 김명직, "금융시계열분석" (2003), 경문사
- 서승환, "한국부동산시장의 거시계량분석" (1994), 홍문사
- 최차순, "부동산투자신탁" (2005), 박영사
- 한국은행, "조사통계월보, 각 연도, 각 호"
- 김규영, "한국 주식시장에서 기대수익률의 결정요인은 무엇인가?", 한국증권학회지, 28, pp.57~83 (2001), 한국증권학회
- 박재환, "금리변수가 주식수익률에 미치는 영향", 한국증권학회지, 26, pp.187~210 (2000), 한국증권학회
- 박헌수, "VAR 모형을 이용한 지가변동에 관한 연구", 부동산연구, 9(3), pp.1~13 (2003), 한국부동산분석학회
- 박헌수, "부동산가격에 있어 장기균형과 충격반응분석 - 강남구, 성남시, 안양시, 용인시를 중심으로", 국토계획, 43(5), pp.35~48 (2008), 대한국토·도시계획학회
- 박헌수, "VAR 모형을 이용한 부동산가격 변동요인에 관한 연구", 부동산연구, 19(1), pp.27~49 (2009), 한국부동산연구원
- 박원석, "REITs의 수익률 특성 분석- 한미간 비교분석을 중심으로", 국토지리학회지, 37(4), pp.7~ (2003), 국토지리학회
- 백원선, "자기자본이익률을 통한 장부가치 -주가비율과 수익- 주가비율의 조화", 한국증권학회지, 26, pp.119~140 (2000), 한국증권학회
- 이소한, "무엇이 부동산투자회사의 가치를 결정하는가?", 금융연구, 13(2) (1999), 한국금융연구원
- 조지호, "주식투자 수익률의 예측에 관한 연구", 한국증권학회지, 11, pp.231~256 (1989), 한국증권학회
- 최차순, "REITs의 수익률 예측모형에 관한 연구", 부동산연구, 15(1), pp.45~67 (2005), 한국부동산연구원
- Chatrath, Arjun, "Are REIT Returns Hedgeable", The Journal of Real Estate Research, 16(1), pp.87~97 (1998)
- Campbell, J. Y., "What moves the stock and bond markets? A variance decomposition for long-term asset returns", The Journal of Finance, 48(1), pp.3~37 (1993)
- Nelson, C. R., "Trends and Random Walks in Macroeconomics Time Series : Some Evidence and Implications", Journal of Monetary Economics, 10, pp.139~162 (1982)
- Campbell, J. Y., "Stock prices, earnings, and expected dividends", Journal of Finance, 43, pp.661~676 (1998)
- Chen, K. C., "Interest-Rate Sensitivity of Real Estate Investment Trusts", Journal of Real Estate Research, 3(3), pp.13~22 (1988)
- Chatrat, Arjun, "REIT and inflation, A Long-run perspective", Journal of Real Estate Research, 16, pp.311~326 (1998)
- Fama, E. F., "The Cross-Section of Expected Stock Returns", The Journal of Finance, 47, pp.427~465 (1992)
- Hartzell, D., "Real Estate Returns and Inflation", AREUEA Journal, 15(1), pp.617~637 (1997)
- Liu, C., "The Predictability of Returns on equity REITs and ther co-movement with other assets", Journal of Real Estate Finance and Economics, 5, pp.401~418 (1992)
- Patelis, Alex D., "Stock return Predictability and the roleof monetary Policy", The Journal of Finance, 52(5), pp.51~72 (1997)
- Ross, Stephen A., "Return, Risk and Arbitrage. in: Risk and Return in Finance" (1976), Ballinger
- REIT : A safe haven in Volatile financial markets, "Rosen, Kenneth", Lend Lease Rosen, ~ (1998)
- Yuming, Li, "The Predictability of REIT Returns and Market Segmentation", The Journal of Real Estate Research, 10(4), pp.471~482 (1995)