CR-REITs와 부동산투자신탁의 수익률 결정요인과 위험 특성에 관한 연구 = Analysis of the Determinants of Returns on CR-REITs and Their Risk Characteristics

다국어 초록 (Multilingual Abstract)

Traditionally, it has been widely accepted that the investment in real estates belongs mainly to the realm of large or institutional investors due to the size of the investment. Through the REITs, however, even small investors can easily invest in real estates like mutual funds regardless of the size of the real estate. In that sense, the REITs are very useful assets which can significantly enhance the diversification of ownership of real estates to the public. While the number of investors having: interests in REITs has increased continuously since the REITS first introduced in 2001 in Korea, it is very difficult for us to find both theoretical and empirical studies about REITS in this country. Thus, the main goal of this research is to comprehensively survey the financial characteristics of REITs for the first time in the viewpoint of returns and risk of REITs in order to help investors invest in real estates as well as to incite subsequent research about REITs in the future. More specifically, we have three major goals in this study as follow: First, we review the concepts and general ideas about CR-REITs and REITs issued by banks, with the help of previous studies. Second, we explore what are the major factors affecting returns of CR-REITs and REITs issued by banks, and we analyze the relations between the relevant factors and the returns on REITs, More concretely, we try to know in what way the factors affect the returns of REITs. Third, we investigate the characteristics of the risk of REITs.
To conduct analyses in a deeper way, we gathered data through the Internet sites, such as the sites of Korea Stock Exchange, Bank of Korea, and KIS-DataBase. SPSS was applied to analyze the collected data and such methods as correlation analysis, regression analysis, Wilcoxon test, and risk analysis were employed.
The major findings obtained from this study are as follow:
First, through the correlation analyses among interest rates and between two apartment indices, we found that statistically significant results exist for some banks about the variables, and hence we did not simultaneously use those independent variables having high correlation in order to prevent multi-collinearity problem. Second, the returns of REITs have positive relations with Construction Index, exchange rates, and KOSPI as a market index, and negative relations with interest rates. In addition, we found that time-lag effects exist between returns of REITs and most of the independent variables except apartment indices. Third, we found that the beta coefficients of REITs stocks change over time. And it was also found that the beta coefficients of REITs stocks are generally less than 1. In addition, the unsystematic risks of REITs stocks are much greater than their systematic counterparts. These major findings can be utilized in the investment decisions by investors to maximize their returns on REITs.
Finally, despite of some useful findings in the study, we need to extend the study further to overcome some limitations, such as the insufficient number of samples in listed REITs, the lack of economic rationale of using the economic variables used in the previous studies, and the weakness in statistical robustness for some results.

목차 (Table of Contents)

• 목차 = ⅰ
• 제1장 서론 = 1
• 제1절 연구의 배경 및 연구의 목적 = 1
• 제2절 연구의 방법 및 범위 = 5
• 제2장 리츠와 부동산신탁의 개요 = 7
• 제1절 리츠 제도의 본질 = 7
• 1. 리츠(REITs)의 정의와 필요성 = 7
• 2. 리츠의 도입배경 및 도입효과 = 10
• 3. 리츠의 일반구조 및 참여주체 = 12
• 4. 리츠(REITs)의 유형과 특징 = 16
• 5. 우리나라 리츠 제도의 현황 및 평가 = 19
• 제2절 부동산투자신탁의 본질 = 28
• 1. 부동산투자신탁의 정의와 특징 = 28
• 2. 은행별 부동산투자신탁상품 사례 = 30
• 3. 부동산투자신탁의 장·단점 = 32
• 제3절 외국의 리츠 제도 = 33
• 1. 미국의 리츠 제도 = 33
• 2. 호주의 부동산 신탁증권 (LPT) = 40
• 3. 일본의 특정목적회사(SPC) (일본 J-리츠) = 42
• 4. 우리나라 리츠와 외국 리츠의 차이점 = 44
• 제3장 이론적 고찰 = 46
• 제1절 수익률에 영향을 미치는 요인들에 관한 연구 = 46
• 1. 부동산경기와 리츠의 수익률 = 46
• 2. 금리수준과 수익률 = 48
• 3. 시장지수와 수익률 = 49
• 4. 환율과 수익률 = 50
• 제2절 위험특성에 관한 연구 = 51
• 제4장 실증분석방법 및 결과 = 54
• 제1절 연구 방법론 = 54
• 1. 자료 (data) = 54
• 2. 실증분석 방법 = 56
• 제2절 분석 결과 = 58
• 1. 독립변수들 사이의 상관관계 분석 = 58
• 2. 리츠 및 부동산투자신탁의 수익률결정요인 분석 = 63
• 3. 리츠와 부동산투자신탁의 위험특성 분석 = 86
• 제5장 결론 = 91
• 제1절 연구의 요약 및 시사점 = 91
• 제2절 연구의 한계점 및 향후 연구방향 = 93
• 참고문헌 = 95
• ABSTRACT = 103