논 문 : REITs 수익률 변동요인에 관한 연구 = A Study on the Sources of REITs Yield Fluctuations

다국어 초록 (Multilingual Abstract)

It has been more than 8 years since the REITs system was first introduced in Korea. With Kyobo- Merits-First CR REITs as its embryo, Four REITs have so far been listed in the stock market in 2010; however, there has been no proper information on the basis of which one could tell what elements contribute to the forming of REIRs yield and whether REITs prices are predictable. This study has analyzed the sourses of REITs yield fluctuations by using the VAR model, and has verified how important the market basis value has become by analyzing the impulse responses and variance decompositions. The suggestions that are made from this study are as follows : 1. The variance of REITs is more low than that of stocks, and these result tells that REITs are stable assets. 2. It could be confirmed that Korean REITs yields are more influenced by short-term interest rate such as call interest than by mid-or long-term interest rate in accordance with a report of research of USA; thus, it is confirmed that volatility of short-term interest, exchange rate and stock prices indicators of the construction are useful in terms of investment strategy. 3. In the consumer inflation, the hedge effect of REITs is not accepted. 4. REITs has verified a useful commodity of investment strategy because of being very effective in the effect of diversification of risk.