REITs의 포트폴리오 효과에 대한 소고

다국어 초록 (Multilingual Abstract)

After the Economic Crisis of 1997, the Korean Financial and Real Estate Market experience a lots of changing. The Korean Real Estate market rapidly fuses into Financial market. Like Asset Backet Security, Mortgage Backed Security, and Real Estate Investment Trusts, the Securitization of Real Estate market accelerates the speed of merging Real Estate market into Financial market.
Traditionally, the Real Estate investment was looking for a capital gain, nowaday, more and more investors prefer a steady cash flow. This change of trend leads Real Estate investment decision-making should be based upon optimum profit and risk analysis with a consideration of portfolio effect.
Since 7 REITs list in Korean stock market, the daily recorded data provides just good enough to annalize the real estate investment and portfolio effect.
The main idea of this paper is analysis of portfolio effect of KOSPI, bond, and REITs as a proxy of real estate investment.
The result of analysis shows REITs has a low coefficient of variation in time series data itself and low correlation to other financial investments, means it has a quality of improving a portfolio effect. Korean REITs show no advantage of profitability over American s. Considering the time limits of data which coming from the shorter history of Korean REITs, the conclusion should be postponed after substantial time series data available.
Also, REITs show substantial hedging ability to a credit risk. Comparing REITs to the portfolio with KOSPI and bonds, only the REITs show the optimum efficient area which lower a risk with maintain a same profit level.
The author focuses evaluation of Real Estate investment through measuring a risk with an application of Capital Asset Pricing Model and Value at Risk methods. Further research should be followed in confirmation of this paper or with other method of measuring a risk.