REITs의 포트폴리오 효과에 대한 소고

A Study on the Effect of Real Estate Portfolio

부동산의 증권화와 그에 따른 부동산금융 시장의 형성은 부동산 투자의 성과를 합리적으로 평가할 수 있는 기반을 마련해 주고 있다. 본 소고는 자본시장에서 시장가격에 의해 객관적으로 평가받고 있는 REITs의 투자성과를 다른 금융자산과 위험-수익의 측면에서 상호 비교함으로써 부동산이 포트폴리오 개선 효과에 어떤 작용을 하는 지를 찾아보고자 한다. 이를 위해 기본적인 위험-수익 분석, 상관분석, 포트폴리오 효과 분석을 CAPM 및 VaR 분석기법 등을 통해 분석한다.

After the Economic Crisis of 1997, the Korean Financial and Real Estate Market experience a lots of changing. The Korean Real Estate market rapidly fuses into Financial market. Like Asset Backet Security, Mortgage Backed Security, and Real Estate Investment Trusts, the Securitization of Real Estate market accelerates the speed of merging Real Estate market into Financial market. Traditionally, the Real Estate investment was looking for a capital gain, nowaday, more and more investors prefer a steady cash flow. This change of trend leads Real Estate investment decision-making should be based upon optimum profit and risk analysis with a consideration of portfolio effect. Since 7 REITs list in Korean stock market, the daily recorded data provides just good enough to annalize the real estate investment and portfolio effect. The main idea of this paper is analysis of portfolio effect of KOSPI, bond, and REITs as a proxy of real estate investment. The result of analysis shows REITs has a low coefficient of variation in time series data itself and low correlation to other financial investments, means it has a quality of improving a portfolio effect. Korean REITs show no advantage of profitability over American s. Considering the time limits of data which coming from the shorter history of Korean REITs, the conclusion should be postponed after substantial time series data available. Also, REITs show substantial hedging ability to a credit risk. Comparing REITs to the portfolio with KOSPI and bonds, only the REITs show the optimum efficient area which lower a risk with maintain a same profit level. The author focuses evaluation of Real Estate investment through measuring a risk with an application of Capital Asset Pricing Model and Value at Risk methods. Further research should be followed in confirmation of this paper or with other method of measuring a risk.