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A Study on the Style Analysis of Real Estate Portfolio: the Applicability of Core, Value-added and Opportunistic Styles

Min, Seonghun 1

1수원대학교

Accredited

ABSTRACT

The applicability of style analysis on the office market in Seoul was tested by logistic regression using Core, Value-added and Opportunistic styles as dependent variable which were classified by cluster analysis using the risk of real estate portfolios measured through the standard deviation of returns. The empirical result suggests that 1) the significance and goodness-of-fit of logistic regression model was satisfactory, 2) among explanatory variables, the sum of capital value as financial factor, the number of properties as diversity factor, and the width of adjacent road, the age of building, the average capital value (or average GFA) and the region (GBD) were significant, and 3) the overall percentage of correct prediction was over 60%. This result shows the applicability of style analysis in this market. PBSA requires a lot of market data for building logistic regression equation, but it analyses style without any time series information about the target portfolio. This character could be an advantage in Korean market which doesn’t have long history of real estate fund.

Citation status

* References for papers published after 2022 are currently being built.