아시아 상장리츠의 수익과 위험에 관한 실증분석

아시아 상장리츠의 수익과 위험에 영향을 미치는 요인을 실증 분석했다.

Previous studies conducted by ‘Ministry of Land, Infrastructure and Transport (2015)’ and “Korea Research Institute for Human Settlements(2015)' have found that the listing activities were vitalized in the REITs market due to number of factors including: sponsor REIT; large scale IPO; and portfolio expansion. This study empirically analyze the impact of those factors on risk and return of REITs. The analysis was based on REITs listed on Singapore, Hong Kong and Japan Stock exchange markets. Time series data was constructed from the time of REITs’ IPO until 2016.

The result indicated that longer duration of the REITs and continuous portfolio expansion had positive effect on REITs profit (Alpha), while the expansion of the portfolio also reduced the risk(Beta). The sponsor’s stake showed a positive influence on the risk(Beta). On the other hand, the size of the asset at the time of IPO did not show any influence at all, because it is a variable that affects the result of the listing itself rather than the perforamce after the listing. These findings suggest that K-REITs market should persue growth through continued asset portfolio expansion and focus on developing persistent REITs.

This thesis contribute to the advancement of related research area, and provides statistical basis for Korean REIT policies development.