VAR 모형을 활용한 부동산펀드와 공모상장리츠의 수익률 비교에 관한 실증연구

부동산펀드와 공모상장리츠의 수익률을 비교했다.

REITs(Real Estate Investment Trusts) are collective investment institutions that collect funds from investors to invest in real estate or real estate related equity and redistribute the profits generated from it. Recently, with the successful launch of listed REITs such as Shinhan Alpha REIT and Lotte REIT, investors' perception of indirect real estate investment has changed considerably and positively. Real estate investment can be divided into direct investment and indirect investment. Indirect investment is a method in which investors manage funds through the company, such as real estate funds or listed REITs.

This study presented the advantages of indirect investment in previous studies, along with the theory of indirect investment, portfolio theory, and average variation model, which are three preference theories of real estate funds. These models allow investors and REITs managers to diversify risk and own products by combining a variety of assets to suit their investment propensity and purpose. However, preference theory of listed REITs has few prior studies, and this study borrows psychological supportive concepts of investment in human behavioral sociology, social psychology, and business administration. The first concept of psychological support is persistence.

Real estate fund products are automatically dismantled as their assets are sold over time. However, listed REITs, like regular companies, are intended for permanence, so they can naturally take the form of multiple buildings per a REITs. In other words, REITs are able to make continuous and stable circulation investment through paid-in capital increase based on trust and commitment. The second psychological support effect is liquidity (or easiness). Liquidity has a strong advantage of diversifying risk, as investors can easily cash.

The two psychological support theories presented in this study can be intuitively understood from TAM(Technology Acceptance Model) and Keynes' theory of liquidity preference. This study collected data from six listed REITs, along with daily stock price data for several years for 20 real estate fund products handled by seven domestic management companies. This study defined five independent variables such as the number of subscription applicants, the ratio of institutional investors, the expiration status of the product, the experience of paid-in capital increase, and the situation of multiple assets.

In addition, this study defined exogenous variables as total assets, current assets, debt ratio, and KOSPI index as control variables. However, the return on equity(ROE) is omitted from the variable because it has similarity to the dependent variable and may cause endogenous problems of causality. This study assumed three hypotheses. Hypothesis 1 indicates that direct and indirect investments in real estate have different effects on the rate of return. In this study, Hypothesis 2 was defined as follows. When comparing listed REITs and real estate funds, it was assumed that the effect of the two product groups on the returns was different. This study divided the third hypothesis into two.

H3a shows that the effect of real estate funds and listed REITs on the rate of return varies depending on the period of product life. For H3b, real estate funds and listed REITs have different impacts on the rate of return depending on the turnover of products. For statistical testing of all four hypotheses, this study used time series analysis and covariance analysis. the results are as follow. First, this study qualitatively proved that indirect investment has a positive effect in terms of profit compared to direct investment.

Second, this study proved that the effect on the rate of return of listed REITs through the time series analysis of the VAR model has a more positive effect than the effect of the real estate fund. Third, this study proved that the difference in the operation method by product group does not have a significant effect on the return rate in the early stages, whereas the effect of the two product groups on the return rate differs in the latter period due to the effect of the adjusted stock price. In addition, the product group existing in the section with high turnover, such as listed REITs, showed that the change in profit was relatively significant.

As a result, this study found that listed REITs with high turnover (or high liquidity) had higher returns than real estate funds. This study not only revealed that the third hypothesis using covariance analysis could be a stronger evidence for the second hypothesis through time series analysis, but also revealed that the cause was in the persistence and liquidity of listed REITs. This is a sufficient requirement to satisfy both the practical implications and academic contributions of this study. 리츠(REITs: Real Estate Investment Trusts)란 투자자들로부터 자금을 모아 부동산 또는 부동산 관련 지분(Equity)에 투자하고 여기에서 발생한 수익을 다시 투자자에게 배당하는 집합투자기구이다.

최근 신한알파리츠, 롯데리츠 등 공모상장리츠가 성공적으로 런칭하면서 부동산 간접투자에 대한 투자자의 인식이 상당히 긍정적이고 적극적으로 바뀌었다. 부동산 투자의 방식은 크게 직접투자와 간접투자로 구분할 수 있는데 간접투자란 부동산펀드나 리츠와 같이 투자자가 투자회사를 통해 투자금을 운용, 관리하도록 하는 투자방식이다. 선행연구에서 간접투자의 장점과 함께 부동산펀드 선호 이론을 세 가지 제시하였으며 이는 간접투자 이론, 포트폴리오 이론, 그리고 평균분산모형 이론으로 정리할 수 있다. 이들 모형을 통해 위험을 분산시키고 자신의 투자 성향과 투자목적과 맞는 다양한 자산을 결합하여 소유할 수 있다. 이와 반대로 리츠 선호 이론은 사실상 선행 연구가 거의 없어 본 연구에서 심리학, 사회학, 경영학적 관점에서의 심리적 지지이론을 차용하였다. 첫 번째 지지개념은 영속성으로서 부동산 펀드는 그 투자 자산이 소멸되면 자동적으로 해체될 수밖에 없는 구조이지만 공모상장리츠의 경우는 일반 회사와 마찬가지로 영속기업을 목적으로 하여 자연스럽게 1리츠 多物의 형태를 지닐 수 있다. 즉, 신뢰와 몰입에 기반을 둔 체계가 구축되어 있어 유상증자를 통해 지속적이고 안정적인 순환투자가 가능할 수 있다. 두 번째 심리적 지지효과로 정의한 개념은 유동성(또는 용이성)으로서 현금화로 인한 위험 헤지 차원에서 강한 장점을 가진다.

이러한 두 가지 심리적 지지이론은 기술수용모델과 케인즈의 유동성선호설을 통해 직관적으로 이해할 수 있다. 본 연구의 방법론적 접근을 위해 실증적 데이터를 취합하였다. 부동산펀드는 국내 7개 운용사에서 취급하는 20개 부동산펀드 상품에 대한 수년간에 걸친 일별 주가 자료를 확보하였으며 6개의 공모상장리츠 자료를 취합하였다. 각 상품의 독립변수로는 공모 시 청약인 수, 기관투자자 비율, 만기 유무, 유상증자 여부, 복수자산 여부를 정의하였고 이와 인과관계를 갖는 종속변수는 상품의 수익률로 정의하였다. 더불어 외생변수인 펀드운용사와 리츠AMC의 자산총액, 유동자산, 부채비율, KOSPI 지수를 통제변수로 정의하였다. 다만 자기자본수익률은 종속변수와 유사성이