부동산투자회사(REITs) 수익률 영향요인 분석

부동산투자회사의 수익률에 영향을 미치는 요인을 분석했다.

Abstract This study examines 110 REITs approved and operated between 2011 and 2016 that are available for return analysis. Contributing factors to return rate are analyzed through Multiple Regression Analysis and Structural Vector Autoregressive(SVAR) Model. Dividend yield and return on equity (ROE) are analyzed through three Multiple Regression Analysis Models each. The three models have independent variables such as REITs operation and building characteristic, macro economy, and listing. Model Ⅰ has additional variables of REITs type and location. Model Ⅱ has additional building use type while Model Ⅲ has all of REITs type, location, and building use type.

All three models of dividend yield show significant causal relationship of REITs operation variables(including capital, operation period, asset manager) and REITs building characteristic (the number of stories in building). Bigger capital and longer operation period bigger dividend yield. On the other hand, more asset managers and more the number of stories in REITs building work negatively for dividend yield. In ROE, all three models show significant correlation of REITs operation variables (including capital, operation period), REITs building charactersitic variable ((the number of stories in building) and land price index. Bigger capital and longer operation period bigger ROE.

In contrary, more the number of stories in REITs building work negatively. Land price index does not have any statistical significance on dividend yield, while it works negatively for ROE in all three models. Based on the above result, this study finds that REITs capital, operation period and the number of stories in REITs building have an impact on dividend yield and ROE in all six models. The analysis results of dividend yield and ROE based on REITs types and locations show that Development-oriented REITs and REITs in GBD have high returns.

Next, this study sets a SVAR model with REITs return rate, economic growth (GDP), interest rate, and house price index as variables to examine the correlation between REITs return, macro economy, and house price index. The result shows meaningful correlation. First, looking at the coefficient, returns are affected by current and previous house price index. Second, Impulse Response Function, one of the important tools of VAR, is used to find out that economic growth leads to high REITs returns. Interest rate increase has negative impact to return while house price increase has positive one. This result correlates to the fact that current and previous house price index affects REITs returns.

When REITs returns grow, interest rate decreases and house price index increases which means housing market and REITs market work positively for mutual growth. Third, result of Variance Decomposition shows that change of REITs return explains itself at 59% in the short term and 51% in the long term. GDP change (short 17%, long 22%) and housing market change (short 23%, long 22%) also explain a big portion. Macro economic variables such as economic growth and interest rate do no show significant correlation to dividend yield and ROE in Multiple Regression Analysis, but in Impolse Response Function, their increase affects REITs returns positively or negatively.

Especially, SVAR analysis shows house price index (once removed from variable because of its multicollinearity to land price in multiple regression analysis) correlates with REITs returns. This study bears its significance in two aspects. First, the common factors on influencing REITs dividend yield and ROE are analyzed at the same time to find statistically important significance. It also defines that the variables that are not statistically important significance still have the same direction in their coefficients. Second, analysis of returns improves when Multiple Regression Analysis for causal relation and Time Series data for correlation are used at the same time.

This study suggest the following implications. First, in policy making, for the Korean REITs market to grow, "one-product and one-operator" should be avoided for this type of operation only liquidates itself in a short period. Portfolio should be diversified to "multiple-product and one-operator" for bigger capital and longer operation period. For this to happen, small-scale REITs can be integrated into one large-scale REIT for public offering and listing. Tax issues in case of merger should be tacked through better legal framework. Second, REITs, as it is based on real estate property, are not much related to financial products such as stock and interest rate etc.

So to manage risk, investors should diversify portfolio by investing in REITs and other financial products. This study has its limitations. Returns can vary depending on capacity of asset management company and investment advisor, but this study does not examine this in-depth. In future I hope that this related studies will be conducted.