부동산 관련 금융상품의 성과와 위험특성에 관한 실증적 연구 = (An) empirical study on the performance and characteristics of the risk of financial products related to real estate

다국어 초록 (Multilingual Abstract)

In this study, complying with the selection standards of samples, finally selected 41 cases of real estate ABS, 204 cases of MBS, 9 cases of REITs and 60 cases of real estate funds, amounting to a total of 314 cases, as samples out of the financial products related to real estate which were issued through public subscription from 1999 to 2006. Furthermore, selecting the variables representing the macroeconomics, stock market and bond market that affect yield of these financial products and analyzed the influential relation with these variables. Taking these variables as control variable, to verify which products show the highest yield by using the methodology of Ibbotson(1975) and to positively analyze the characteristics of the risk entailed by real estate ABS, MBS, REITs and real estate funds.
To achieve the above purposes of study, This Study focused on the following details.
First, I studied the theories on the characteristics, structures and current issuance status, etc., of financial products for real estate issued or established in Korea such as real estate ABS, MBS, REITs and real estate fund.
Second, I arranged the trend of domestic and overseas research studies regarding the determinants of the yield of financial products for real estate and checked the preceding research that positively analyzed by explanatory variables found in these researches such as return of KOSPI, fluctuation rate of CD interest (91-day), yield of house price index, inflation rate, currency increasing and decreasing rate, etc. Based on them, I analyzed which financial products related to real estate show the highest yield through time-series regression analysis which takes return of KOSPI, yield of house price index, inflation rate, fluctuation rate of CD interest and currency increasing and decreasing rate as control variables.
Third, I arranged trend of domestic and overseas research on the characteristics of the risk of the yield of financial products for real estate and analyzed them to see which financial products related to real estate have relatively higher risk by using Beta, the systematic risk as substitute value for risk and standard deviation, the index of total risk as well as how standard deviation and Beta coefficient change as time passes by.
The result of positive analysis in this research performed for this purpose is as follows.
First, analyzing the correlations among explanatory variables that affect the monthly yield rate of financial products for real estate, such as real estate ABS, MBS, REITs and real estate fund, etc., no significant correlation was found as a whole except returns of KOSPI, fluctuation rate of CD interest and inflation rate. This means that the issue of multi-collinearity hardly exists among explanatory variables.
Second, checking the result of simple regression analysis that was performed by using explanatory variables affecting the monthly yield of financial products for real estate, namely, return of KOSPI, fluctuation rate of CD interest, yield of house price index, inflation rate, currency increasing and decreasing rate, etc., the trend of real estate market had positive(+) influence only on the yield of real estate fund and the short-term rate, fluctuation rate of CD interest had negative(-) influence on the yield of real estate ABS and MBS. Further, it was observed that the trend of stock market did not significantly affect the yield of financial products for real estate. It was found that inflation rate did not significantly affect the yield of financial products for real estate and the currency increasing and decreasing rate affected only the yield of MBS positively(+).
Third, checking the result of analysis performed to see which financial products for real estate such as real estate ABS, MBS, REITs and real estate fund, real estate ABS showed the highest and abnormal return among them. Then, it was followed by REITs and real estate fund, but statistical significance was not found.
Fourth, checking the result of analysis performed to see which financial product for real estate such as real estate ABS, MBS, REITs and real estate fund had relatively higher risk and how such risk changed as time passed by, it was found that REITs, the stock product had the highest general risk and systematic risk. Then, it was followed by bond products such as real estate fund, real estate ABS and MBS. While general risk and systematic risk stably changed in REITs as time passed by, they showed very extraordinary and excessive change in specific period in credit products like MBS, real estate ABS and real estate fund. Namely, it was found that general risk and systematic risk changed unstably as time passed by.

목차 (Table of Contents)

• 제1장 서론 = 1
• 제1절 문제의 제기 및 연구의 목적 = 1
• 제2절 연구의 방법 및 논문의 구성 = 4
• 제2장 부동산 관련 금융상품의 구조와 특성 = 7
• 제1절 자산유동화증권의 개요와 구조 = 7
• 1. 자산유동화증권 = 7
• 2. 자산유동화의 효과 = 11
• 3. 자산유동화의 거래참가자 = 12
• 제2절 주택저당채권유동화증권의 개요와 구조 = 17
• 1. 주택저당채권유동화증권 = 17
• 2. 주택저당채권유동화증권의 종류 = 18
• 제3절 부동산투자회사의 개요와 구조 = 21
• 1. 부동산투자회사 제도 = 21
• 2. 부동산투자회사의 구조 = 23
• 제4절 부동산펀드의 개요와 구조 = 25
• 1. 부동산펀드 = 25
• 2. 부동산펀드의 구조 = 28
• 제3장 부동산 관련 금융상품시장과 선행연구의 동향 = 31
• 제1절 부동산 관련 금융상품시장 동향 = 31
• 1. ABS의 발행 현황 = 31
• 2. MBS의 발행 현황 = 32
• 3. REITs의 발행 현황 = 34
• 4. 부동산펀드의 설정 현황 = 35
• 제2절 선행연구의 검토 및 평가 = 36
• 제4장 연구방법론 = 44
• 제1절 표본의 선정 및 구성 = 44
• 제2절 검증가설의 설정 = 46
• 제3절 검증모형의 설계 = 49
• 1. 변수의 측정방법 = 49
• 2. 검증모형의 설계 = 50
• 제5장 검증결과의 분석 = 53
• 제1절 표본의 기술적 특성 = 53
• 제2절 회귀분석의 결과 = 56
• 1. 부동산시장 동향과의 관계 = 58
• 2. 금리와의 관계 = 59
• 3. 주식시장 동향과의 관계 = 60
• 4. 물가상승률과의 관계 = 61
• 5. 통화량과의 관계 = 62
• 6. 검증결과의 요약 = 63
• 제3절 부동산 관련 금융상품의 성과에 대한 분석결과 = 64
• 제4절 위험특성의 분석결과 = 66
• 제5절 실증적 분석결과의 요약 = 70
• 제6장 요약 및 결론 = 73
• 제1절 연구결과의 요약 = 73
• 제2절 연구의 시사점 및 한계 = 75
• 참고문헌 = 78
• 부록 = 85
• Abstract = 87