실물옵션법을 이용한 상장 기업구조조정 리츠의 만기결정에 관한 연구

상장 기업구조조정 리츠의 적정 만기를 분석했다.

When it comes to REITs investment, time to maturity of REITs needs to be elaborately determined in light of facilitating risk hedge, attracting investors, and stable business operation. However, this maturity tends to be routinely determined and to be shown in REITs prospectus without any explanation or evidence. Furthermore, relevant literatures are very rare. Therefore, this research seeks to show the process of determining optimal time to maturity of REITs by theoretically structuring financial model based upon related financial-economic and option pricing theories.

To do so, changing value of REITs` underlying asset and recovery cost by delayed sale are financially formulated based on Black-Scholes model to find optimal time to maturity of REITs defined as the time value of REITs underlying asset deducted by cost paid for recovering loss is maximized. Finally, findings drawn from this research are as follows 1) The optimal time to maturity of REITs ranges from 1.0 to 2.5 years in all REITs cases. 2) As “REITs` underlying asset value, opportunity cost of initial equity`s amount and rate of return on re-investment” increases and amount of initial equity decreases, optimal time to maturity of REITs gets earlier.

3) As risk-free rate and volatility increases, REITs` maturity gets later. 4) Finally, amongst all REITs` cases, higher return on re-investment has pace that REITs` maturity get earlier faster.