국내상장기업의 부동산보유결정이 기업주식의 수익률과 위험에 미치는 영향에 관한 실증연구
An Empirical Study on the Relationships Between Decision of Corporate Real Estate Ownership and Corporate stock's Return and Risk in the Case of Korean Listed Corporation.
1
조회
0
다운로드
6
인용
0
참고문헌
키워드
초록
The purpose of this study is to investigate the effects of corporate real estate holding ratio on corporate stock's return and risk in the case of Korean listed corporation between the years 2000-2009. In addition, this study examines different impact of corporate real estate holding ratio on corporate stock's return and risk in the various industry sectors and in the two stock markets. Goal in this study is to find out corporate real estate holding strategy in the different industry sectors and stock markets. This empirical analysis is based on data from KISVALUE. Dataset comprises 1,216 firms during 2000 - 2009. This empirical analysis is carried out in order to find out influence of corporate real estate holding ratio by selecting variables such as predicted real estate ratio, systematic risk(beta), excess return(alpha), firm size, leverage and industry, market, year dummies. Results of this empirical work is carried out by using 2SLS(2 stages least squared Regression Analysis). We discovered that without grouping sample data into sub industries group and sub markets group, real estate holding ratio does affect on systematic risk significantly and does not affect on yearly stock return and excess return significantly. However, We discovered different Portfolio diversification, Share holder wealth and Stock performance because real estate holding's effect is differently appeared in various industry sectors and stock markets.
Abstract
The purpose of this study is to investigate the effects of corporate real estate holding ratio on corporate stock's return and risk in the case of Korean listed corporation between the years 2000-2009. In addition, this study examines different impact of corporate real estate holding ratio on corporate stock's return and risk in the various industry sectors and in the two stock markets. Goal in this study is to find out corporate real estate holding strategy in the different industry sectors and stock markets. This empirical analysis is based on data from KISVALUE. Dataset comprises 1,216 firms during 2000 - 2009. This empirical analysis is carried out in order to find out influence of corporate real estate holding ratio by selecting variables such as predicted real estate ratio, systematic risk(beta), excess return(alpha), firm size, leverage and industry, market, year dummies. Results of this empirical work is carried out by using 2SLS(2 stages least squared Regression Analysis). We discovered that without grouping sample data into sub industries group and sub markets group, real estate holding ratio does affect on systematic risk significantly and does not affect on yearly stock return and excess return significantly. However, We discovered different Portfolio diversification, Share holder wealth and Stock performance because real estate holding's effect is differently appeared in various industry sectors and stock markets.
참고문헌 (14)
- 김재태, "민간개발사업에서 건설회사의 사업성과요인에 관한 연구 － 시행사와의 관계를 중심으로 －", 주거환경, 9(1), pp.57~72 (2011), 한국주거환경학회
- 김지수, "기업의 부동산 보유와 기업가치에 관한 연구", 재무관리연구, 10(2), pp.53~81 (1993)
- 김형철, "자본시장과 재무관리 제3판", pp.230~231 (2003), 신론사
- 박정식, "현대재무관리 제6판", pp.6~7 (2004), 다산출판사
- 이해영, "기업의 소유 및 투자 부동산이 기업 가치에 미치는 영향", 기업경영연구, 16(4), pp.67~81 (2009), 한국기업경영학회
- Brounen and Eichholtz, "Corporate Real Estate Ownership Implication", Journal of Real Estate Finance and Economics, 30(4), pp.429~445 (2005)
- Brounen, "Corporate Real Estate and Stock Performance in the International Retail Sector", Journal of Corporate Real Estate, 7(4), pp.287~299 (2005)
- Brueggman, W. B, "Rethinking corporate real estate", Journal of Applied Corporate Finance, 3(1), pp.39~50 (1990)
- Huffman, "Corporate Real Estate Risk Management and Assessment", Journal of Corporate Real Estate, 5(1), pp.31~41 (2002)
- Hwang, L. Seiler, "Multinational Companies' Real Asset Ownership and its Impact on Diversification", Journal of Corporate Real Estate, 7(4), pp.326~338 (2005)
- Liow, "A combined perspective of corporate real estate", Journal of Corporate Finance, 10(1), pp.54~67 (2008)
- Louko, "Corporate Real Estate Disposal Impact on Performance Ratio", International Journal of Strategic Property Management, 8(3), pp.131~147 (2004)
- Park, "The performance impact of strategic corporate real estate in franchise organization", Journal of Corporate Real Estate, 12(2), pp.81~95 (2010)
- Seiler, "Real Asset Ownership and the Risk and Return to Stockholders", Journal of Real Estate Research, 22(1), pp.199~212 (2001)