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@article{ART001044831},
author={최차순},
title={A Study on Predictability Model of REIT Yield},
journal={Korea Real Estate Review},
issn={2092-5395},
year={2005},
volume={15},
number={1},
pages={45-67}

TY - JOUR
AU - 최차순
TI - A Study on Predictability Model of REIT Yield
JO - Korea Real Estate Review
PY - 2005
VL - 15
IS - 1
PB - korea real estate research institute
SP - 45
EP - 67
SN - 2092-5395
AB - This study has constructed a new REITs yield prediction model 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 study has first provided a useful analysis model for REITs yield prediction in Korea. 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 and industry product indicators are useful in terms of investment strategy. 3. In the consumer inflation, the hedge effect of REITs is not accepted. 4. In the beginning step, it is expected that REITs dividend and bought real estate prices are very high, and these result tells that REITs are stable assets.
KW - yield prediction;VAR model;impulse responses;variance decompositions;hedge effect
DO -
UR -
ER -

최차순. (2005). A Study on Predictability Model of REIT Yield. Korea Real Estate Review, 15(1), 45-67.

최차순. 2005, "A Study on Predictability Model of REIT Yield", Korea Real Estate Review, vol.15, no.1 pp.45-67.

최차순 "A Study on Predictability Model of REIT Yield" Korea Real Estate Review 15.1 pp.45-67 (2005) : 45.

최차순. A Study on Predictability Model of REIT Yield. 2005; 15(1), 45-67.

최차순. "A Study on Predictability Model of REIT Yield" Korea Real Estate Review 15, no.1 (2005) : 45-67.

최차순. A Study on Predictability Model of REIT Yield. Korea Real Estate Review, 15(1), 45-67.

최차순. A Study on Predictability Model of REIT Yield. Korea Real Estate Review. 2005; 15(1) 45-67.

최차순. A Study on Predictability Model of REIT Yield. 2005; 15(1), 45-67.

최차순. "A Study on Predictability Model of REIT Yield" Korea Real Estate Review 15, no.1 (2005) : 45-67.