환율변동을 고려한 복합자산 포트폴리오의 성과연구

고성수(Sung-Soo Koh),진창하(Chang-Ha Jin),알랜 지오브로스키(Alan J. Ziobrowski) 한국주택학회 2008 주택연구 Vol.16 No.1

  본 연구는 1998년에서 2005년도 기간 동안 국내투자가의 관점에서 아시아 국각 간부동산 실물자산, 주식, 채권을 포함한 해외 복합자산 포트폴리오의 수익률과 위험이 환유변동에 따라 어떤 변화를 보이는 지를 살펴보고 있다. 본 연구는 중국, 인도네시아, 말레이시아, 필리핀, 태국과 같은 신흥 개발도상국들과 싱가포르, 일본, 홍콩, 호주, 그리고 뉴질랜드와 같은 5개 선진국을 대상으로 진행되었다. 본 연구의 주요결과는 환율변동이 선진국에 비해 신흥 개발도상국에서 더욱 중요한 투자위험 변수로 나타났다는 점이다. 그러나 환율변동에도 불구하고 해외 선진국과 신흥 개발도상국 사이의 복합자산 포트폴리오 구성비율 연구에서 본 연구는 리스크를 감수하더라도 고수익을 추구하는 투자자의 경우 투자 성향의 투자자들에게 신흥 개발도상국의 실물 부동산 자산이 포트폴리오에서 주요한 부분을 차지하고 있는 것으로 나타났다.   As International Real Estate Investment has increased considerable in recent years, this study analyzed the performance of mixed-asset portfolios containing real estate, common stock, and bond investments from various Asian countries. While most of previous research focuses on the U.S. investors" perspective, the particular interest of this study is that the performance of each individual asset class in the context of mixed-asset portfolio has prepared for the Korean investors" perspective. The study focused mainly on six economically developing countries (China, Indonesia, Malaysia, the Philippines, South Korea, and Thailand) and five developed countries (Singapore, Japan, Hong Kong, Australia, and New Zealand). The results indicate that the currency volatility has more significantly observed from those emerging countries than developed countries. However, the results consistently show that mixed-asset portfolios from countries with emerging economies have outperformed the assets of developed countries for moderate and aggressive investors targeting Asian countries.

부동산자산을 포함한 복합자산 포트폴리오 연구 -부계정의 적정자산배분에 관하여-

고성수 ( Sung Soo Koh ) 한국금융연구원 2004 금융연구 Vol.18 No.2

주택금융규제가 소득분위별 주택소비에 미치는 영향

고성수 ( Sung Soo Koh ),윤여선 ( Yeo Seon Yoon ) 한국부동산분석학회 2008 不動産學硏究 Vol.14 No.2

After currency crisis of 1997, financial institutions have preferred consumer loans which have lower risk and higher profitability than corporate loans. They have also increased the size of housing finance, which were mainly consisted of mortgage loans. As a result, Korea Federation of Banks and Financial Supervisory Service together came up with "proposals for improving credit screening system for mortgage loans" in an effort to make the loan-outs based on the debtor`s ability for debt redemption rather than on the size of collateral. Therefore, this study quantitatively compares and contrasts the effects of LTV constrained loans and DTI contrained loans using the loan limit model found in previous studies. It was suggested that DTI constrained loans increase the percentage of loan-limited families. It is also observed that the lower income family becomes harder to obtain its optimal housing consumption. Without certain amounts of accumulated assets, it is difficult to purchase a desired housing under borrowing constraints on the housing consumption.

부동산 프로젝트 파이낸싱 가산금리 결정요인 분석에 관한 연구

고성수(Sung-Soo Koh),류근묵(Geun-Muk Ryu) 한국주택학회 2010 주택연구 Vol.18 No.1

본 연구는 재무적 투자자인 금융기관들의 가산금리체계 개선의 한 방안으로 부동산 PF의 가산금리 결정에 영향을 미치는 요인에 대한 실증적 분석을 통해 PF의 신용도를 보다 안정적이고 합리적으로 평가할 수 있는 변수들을 선정함으로써 PF 대출 심사 시 실무적으로 유용한 보다 더 개선된 가산금리 평가체계 구축에 기여하는데 목적이 있다. 이에 부동산 PF 대출 가산금리의 개별 요인들에 따른 가산금리 평균에 차이가 존재하는지를 t/F-검정을 통해 분석하였고, 가산금리에 영향을 미치는 요인과 특성을 분석하기 위하여 다중회귀분석을 실시하였다. 분석결과, PF 가산금리 결정요인의 경상이익률이 낮아질수록 자기자본투자비율과 대출금비율은 클수록 사업지역은 수도권일수록 시공사등급이 양호 할수록 가산금리가 낮게 적용되는 것으로 나타났다. 가산금리 결정에 유의한 영향을 미치는 변수는 자기자본 투자비율, 대출금비율, 사업지역, 시공사등급은 음(-)의 영향으로 Escrow Account는 양(+)의 영향이 나타났다. 그 외 경상이익률, 대출기간, 사업유형, SPC, 시공사채무인수, 시공사책임준공은 유의하지 않게 나타나 가산금리에 미치는 영향이 미미한 것으로 나타났다. 이에 금융기관은 분석결과 유의하게 도출된 변수로 평가지표를 산출하여 합리적인 가산금리 체계를 도입하는데 활용할 수 있을 것이다. This study, as a scheme to improve the spread system of financial institutions who are the financial investors at the same time, aims to contribute to the establishment of the improved assessment system for spread determination in PF loan underwriting. Thus the study selects the variables that can be applied to the credit rating in PF loan underwriting through an empirical analysis on the factors that affect determination of the real estate PF spread. Thus, the study examined weather each variable for the real estate PF loan spread makes difference in the average spread through t/F-tests, and carried out a multiple regression analysis to find the factors that affect on spread and analyze its characteristics. In the result, the spread appeared to be set at lower level for the companies with lower ordinary profit, higher capital adequacy ratio and LTV, closer to the metropolitan area and for higher credit rate. The capital adequacy ration, LTV, location, and credit rate appeared to have negative effect while the Escrow Account has positive effect. On the other hand, the ordinary profit, term to maturity, type of business, SPC, undertaking construction company's debt, whole accountability construction and construction management at risk were exhibited only small effects that are insignificant. Applying the variables with significant analysis results in the assessment index will enable a further rational spread system for financial institutions.

서울시 오피스 빌딩의 임대료 결정요인에 대한 연구

고성수(Koh, Sung Soo),정유신(Jung, Yoo Shin) 韓國不動産學會 2009 不動産學報 Vol.39 No.-

1. Contents (1) RESEARCH OBJECTIVES The purpose of this study is to analyze determinants on rents of non-residential properties in Seoul. Previous researches on office rents have found that the rental rates are determined based on attributes like location, surroundings, physical characteristics of the commercial property and microeconomic variables. Although macroeconomic variables have significant impact on the rental rates, the macro variables have not been analyzed thoroughly in the past. This research investigates determinants on rents including macroeconomic variables. (2) RESEARCH METHOD This research attempted to find the relationships between the rental rates and the variables used while focusing on gathering statistically sound data and information that could lead to more accurate forecasts in rental rates in response to the changing macroeconomic landscape. To analyze attributes in the cross sectional data and macroeconomic varialbes in the time series data simultaneously, panel-data analysis with multi-collinearity and time-series testing were used. (3) RESEARCH FINDINGS The analysis involving attributes and macro variables together resulted in a fairly high correlation coefficient between the rental rates and the variables. The correlation coefficient turned out to be high presumably due to additional macroeconomic variables having further strengthened the explanation behind the relationships and also due to the fact that these additional macro economic variables increased the fit. 2. RESULTS Attributes have been analyzed in the past, but the volume of data used for this research was significantly larger than those used in the past, which led us to see if there were any differences in the final results. The overall direction of the findings were similar to the previous studies, however, with varying degree of sensitivity. Findings on the deposit-based lease and time-passed since construction variables turned out to be different from the previous studies.

국내 주택금융시장의 모기지 선택에 관한 연구

고성수 ( Sung Soo Koh ),주민균 ( Min Kyun Ju ) 한국부동산분석학회 2011 不動産學硏究 Vol.17 No.2

This paper studies a consumer choice of mortgage in Korean housing market. Mortgages in Korea have been characterized as short maturities, interest-only payments and adjustable rate. Although Korean government and financial institutions have made efforts to change terms in mortgage contracts for several years, the share of ARM still reaches over 90%. This paper statistically examines the determinants of mortgage choices in Korea using data from January, 2005 to June, 2010. The result shows that the most important factor in mortgage choices is the difference between rates for FRM and those for ARM, similar to results of researches for US market. Some policy suggestions for lowering mortgage rate of FRM were provided in conclusion.

부동산 프로젝트 파이낸싱의 연체에 관한 특성분석

고성수(Koh, Sung Soo),류근목(Ryu, Geun Muk),최은영(Choi, Eun Young) 한국부동산학회 2009 不動産學報 Vol.37 No.-

1. CONTENTS (1) RESEARCH OBJECTIVES The purpose of this research is analyzing factors that influence real estate PF past due loans in order to present effective directions and roles for the improvement of the PF market. (2) RESEARCH METHOD This research analyzed the influential power and relative importance that unique factors had on the past dues of PF loan regarding whether there are any differences in the number of past dues and averages according to the unique factors of real estate PF loan past dues based on PF loan data of financial agencies through a cross-impact analysis, chi-square test, and logistic regression analysis. (3) RESEARCH FINDINGS In the past dues PF loans, businesses with apartment complex type, businesses whose cost of equity capital is high, businesses whose construction company credit score is over BBB-, and businesses who have a completion guarantee contract from the construction company all have low past due rates. Especially in domestic real estate development projects, the cost of equity capital was shown as having a close relationship with the rate of default. 2. RESULTS By analyzing the influences of business type, cost of equity capital, construction company grade, completion guarantee, and loans interest on PF loans; it will contribute to improving the negative situations domestic real estate PF loans have and reinvigorating it in the long term perspective by arranging a more improved PF loan judging standard.

부동산 금융구조 변화에 따른 부동산시장의 전망

고성수(Sung-Soo Koh) 한국부동산연구원 2004 부동산연구 Vol.14 No.2

본 연구는 최근 부동산 금융구조의 변화추이를 진단해보고 향후 전개될 부동산시장의 발전을 정성적으로 전망하고 있다. 이를 위해 우선 최근 부동산시장의 동향 및 정책의 방향에 대하여 논의한 후 새롭게 도입된 주택금융공사 및 간접투자자산운용업법의 주요 내용을 소개하고 이들 제도의 기대효과 및 예상되는 변화를 전망해보고 있다. 향후 국내 부동산금융시장은 종전과는 달리 간접투자 중심의 전문성이 강조된 보다 발달된 형태로 전개될 것으로 예상된다. 이는 금융환경 및 이에 따른 투자심리의 움직임이 재편되는 부동산금융시장에 유리하게 작용하는 것도 하나의 원인이 될 수 있지만 외한위기 이후 숱만 시행착오를 겪으며 도입하여온 다양한 금융제도가 비로서 정착하는 단계에 이른 것에도 기인한다. 이에 따라 향후 국내 부동산시장은 간접투자의 확대, 후분양제의 진전, 전문인력 및 관련 인프라의 강화, 시장 안정화 등의 변화가 예상된다. This paper studies the changes of real estate finance structure and the development of real estate markets in Korea. The recent changes in real estate policy and market trends are discussed. The expected changes and economic effects caused by the newly introduced financing systems, i.e., Korea Housing Finance Corporation and the indirect asset investment law. The Korean real estate market is expected to expand indirect investments and thereby emphasizes the specialties of the diversified participants in the market.

부동산 프로젝트 파이낸싱의 리스크 평가모형에 관한 연구

고성수(Sung-Soo Koh),류근묵(Geun-Muk Ryu) 건국대학교 부동산도시연구원 2009 부동산 도시연구 Vol.1 No.2

분양형 부동산 개발사업을 대상으로 프로젝트 파인낸싱의 부실화를 사전에 예방하기 위한 실용적인 리스크 평가모형을 구축하고자 리스크 요인 도출 및 분류체계 구성, 중요도 산출을 바탕으로 평가항목 및 등급 구간별 배점을 부여한 모형을 구축한 후 금융기관의 심사사례 자료를 통한 모형의 타당성을 실증분석하고 K-S 통계량과 ROC 곡선을 이용하여 평가모형의 적합성을 비교 검증하였다. 부동산 프로젝트 파이낸싱 리스크 평가모형은 재무리스크, 사업리스크, 시행사리스크, 시공사리스크, 시장리스크, 채권보전리스크 평가항목으로 구성하였고, 적합성 검증결과 상위 평가등급에서는 낮은 연체율을 보이고 하위등급에서는 연체율이 급격히 상승하는 패턴을 보이고 있어 평가모형은 신뢰성이 있다고 할 수 있다. 두 평가모형의 비교 검증에서는 연구모형의 K-S 통계량 값이 상대적으로 높고 AUROC가 비교모형에 비해 더 높은 값을 나타내고 있어 연구모형이 비교모형에 비해 판별력이 더 우수하다고 볼 수 있을 것이다. 본 연구에서 의도한 바와 같이 프로젝트 파이낸싱 리스크 평가의 객관화와 신뢰성 있는 평가모형 제시로 금융기관 심사 담당자의 의사결정 판단자료로 활용 가능하여 대출심사가 신속 정확하게 이루어짐으로써 프로젝트 파이낸싱을 통한 부동산 개발사업 활성화와 금융기관의 부실채권 발생 방지에 기여할게 될 것이다. This study aimed to develop a practical risk evaluation model to prevent bad project financing in the area of real estate development projects for sale. For this purpose, a model was developed to reflect evaluation items and scores by grade, on the basis of identified risk factors, classification system, and rated degree of importance, before validity of the model was tested via an empirical analysis based on loan underwriting data of financial institutions, and using Kolmogorov-Smirnov(K-S) statistics and a receiver operating characteristic( ROC) curve, to compare and test suitability of models. The proposed real estate project financing risk evaluation model consists of items to evaluate financial risk, business risk, project owner risk, constructor risk, market risk, and bond protection risk, and the test for suitability revealed that upper evaluation grades had a lower delinquency rate, and delinquency rate in lower evaluation grades increased sharply, which indicates that the evaluation model is reliable. Comparison and test of the two evaluation models, the K-S statistics value and Area Under Receiver Operation Characteristic(AUROC) of the study model were higher than the comparison model, which implies that the study model is more effective in discrimination capacity than the comparison model. As intended, the study suggested objectification of project financing risk evaluation and reliable evaluation model, which can be used as a material for loan underwriting personnel of financial institutions to make a decision to ensure quicker and accurate loan underwriting. As a result, the study is expected to make a contribution to the activation of real estate development projects via project financing and help financial institutions prevent bad loans.

지니계수를 이용한 토지 과세평가 불평등도 실증분석

고성수(Koh, Sung Soo),정진희(Jung, Jin Hee) 韓國不動産學會 2010 不動産學報 Vol.41 No.-

1. CONTENTS (1) RESEARCH OBJECTIVES The purpose of this study is to verify inequality of tax assessment in and taxation. (2) RESEARCH METHOD Ths study is focused on empirical analysis of inequality of tax assessment. The data for this analysis are collected from the public land registeration. We know sales price and public price from the public land registeration etc. Ths study uses the inequality measurement, especially Tax Assessment Gini Coefficient. (3) RESEARCH FINDINGS According to the empirical analysis of Tax Assessment Gini Coefficient usmg the Seoul Songpa district's & Kangbuk district's officially delt land sales price data, we could find out to deepen inequality of tax assessment in '2000 year than '2006 year and relatively inequality of tax assessment in Kangbuk district than Songpa district. 2. RESULTS TIUs study offers that we calculate Tax Assessment Gini Coefficient using the SAR(Sales price!Assessment Value) and find out to weaken or deepen the inequality of tax assessment. In addition, Tax Assessment Gini Coefficient using the officially delt land sales price data supplies the various interpretation with mean etc.