국내 리츠 시장 활성화의 전제로서 리츠 자산 평가의 적정성 연구

국내 리츠 시장 활성화를 위한 리츠 자산평가의 적정성을 검토했다.

Since mid-2000, regulation authorities of korean government on real estate affairs have applied a series of policies to vitalize the REITs. Especially, in April, 2014, a bill to change “Housing Ownership and Renting Act“ was endorsed. This bill implies a prominent effect in REITs market by including a petition that helps developing many REITs, even REITs in association with renting houses. Despite those reforms, there are still a lot of doubts on how fairly REITs are evaluated with respect to their risks. This study is an empirical analysis on the price of listed REITs in Korean market.

Specifically, the study suggests some empirical evidence that the price of the REITs are sensitive to a firm-specific risk. By using top eight REITs in Korea from Fn-guide at a monthly basis. this study shows the significant negative relationship between price and risk. Given the statistical methodology suggested in Ooi et al (2009), the identification of an estate-specific risk, we used volatilities predicted by EGARCH. These heteroskedasitic volatilities are estimated by a three-factor Fama-French model. Finally, we apply the ordinary least squares to find the relationship between the weighted average of eight REITs returns and volatilities.

According to the results, the return of REITs is lower when there is a higher risk on average; investors are reluctant to invest in risky REITs. In addition, we show that REITs’ Beta is not significantly related to the weighted return of the REIT market. The results suggest that diminishing the market risk of REITs implies the higher expected return in which the lower risks attract potential investors who are interested in hedging their portfolio with respect to the risk in a stock market.