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스폰서 소유권이 리츠의 시장 위험과 유동성 위험에 미치는 영향

The Impact of Sponsor Ownership on the Market Risk and the Liquidity Risk

노승한|한광호
한국부동산원 (Korea Real Estate Board)|2021.04|부동산분석 (Journal of Real Estate Analysis)|제7권 제1호|pp. 47-68|DOI https://doi.org/10.30902/jrea.2021.7.1.47

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참고문헌

키워드

대리인 문제스폰서 소유권Sponsor ownership스폰서 리츠시장 위험유동성 위험Sponsored REITMarket betaLiquidity betaThe agency problem

초록

본 연구는 아시아 리츠 자료를 이용해 스폰서 소유권이 시장위험과 유동성 위험에 미치는 영향을 분석한다. 스폰서 리츠에 대한 선행연구는 아시아 리츠의 스폰서 구조가 대리인 문제를 유발할 수 있다고 경고하면서 스폰서 소유권 관리를 통한 대리인 문제의 완화가 성립함을 주장한다. 그러나 본 연구의 실증분석 결과는 스폰서 소유권과 시장위험 및 유동성 위험 사이에 역-U 형태의 관계가 있음을 보인다. 이는 위험관리의 관점에서 소유권 관리의 효과가 없음을 보여준다. 이 결과는 아시아 리츠의 수수료 비즈니스 모델로 설명된다. 스폰서는 자산 유동화의 동기가 있고, 리츠와 매입 및 매각 성과 수수료 계약을 체결하는 외부관리자는 공격적인 경영에 대한 동기가 있다. 특히, 스폰서는 부동산 거래의 양 당사자 지위를 모두 가지고 있다. 결과적으로 아시아 리츠는 과도한 특수관계자 거래에 따르는 위험을감수하게 된다. 본 연구의 결과는 리츠의 이해관계자 거래 및 수수료 계약을 감시하는 시스템의 보완이 지배구조와 제도적 차원에서 마련될 필요가 있음을 시사한다.

Abstract

This paper investigates effects of sponsor ownership on the Market Risk (Systematic risk) and the Liquidity Risk using Asian real estate investment trust (REIT) data. Previous literature warns that the sponsored REIT structure may cause the agency problem, and insists that the sponsor ownership management relieves the agency problem. However, our empirical findings show that there is an inverse-U relationship between the sponsor ownership and the two risks (the market risk and the liquidity risk), which indicates that from the risk management perspective, the sponsor ownership management has no effect. This finding can be explained by the fee business model. The sponsor has a motivation for the asset secularization, and an external manager who makes an option contract of performance, acquisition, and divestment fee with REIT has a motivation for the aggressive management style. In particular, the sponsor has the position of both parties in property transactions. In consequence, Asian REITs take a risk of excessive related party transactions. The findings of this study suggest that the REITs’ governance and regulations need to be improved for monitoring of the related party transaction (RPT) and the fee contract, in relation to control structure and in a systematical level.

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