• 제목/요약/키워드: Stock Rate of Return

검색결과 112건 처리시간 0.019초

K-REITs(부동산투자회사)의 투자 유형별 특성 분석 (A Study on the K-REITs of Characteristic Analysis by Investment Type)

  • 김상진;이명훈
    • 한국산학기술학회논문지
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    • 제17권11호
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    • pp.66-79
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    • 2016
  • 최근 리츠 인가의 증가로 대두되는 사안은 경영활동에 드는 자금을 어떻게 조달하는지와 투자 자금을 효율성 있게 운용함으로써 기대 수익률과 경영 극대화를 목표 설정에 맞게 실현될 수 있는지 대한 문제로 귀결되는 듯하다. 이에 본 연구는 국내 리츠가 운용된 2002년부터 2015년(2007~2009년, 글로벌 금융위기 기간의 파급효과 기간은 제외하였음)까지 리츠의 사업현황, 투자, 재무 등 경영 전반에 관련 자료를 구축하여 투자 유형별 특성을 분석하고 리츠의 부채비율에 영향을 미치는 요인을 분석하였다. 분석결과 리츠의 최대주주 성향이 법인, 연기금, 공제회, 은행, 증권, 보험 등의 비중이 높게 나타나며 최근 최대주주와 주요주주의 비중이 상승하고 있다. 리츠 투자에서 기관투자자 역할이 증대되면서 기관투자자가 리츠성장을 견인한 것으로 보인다. 기관투자자에서 자주 목격되는 동시 투자자에게 다른 금융기관보다 더 높은 이자율을 지급된 것으로 분석되어, 리츠가 동시투자자에 대하여 유인과 보상을 병행한 것으로 판단된다. 부채비율과 관련 변수 간의 영향요인에 대하여 다중회귀분석을 수행한 결과 부채비율이 수익성과는 음(-)의 관계를 맺어 자본조달순위이론을 지지하며, 투자기회(성장성)는 음(-)의 관계, 자산 규모와는 양(+)의 관계를 맺어 상충이론을 따르는 것으로 분석되었다. 이와 같은 연구결과는 국내 리츠가 공모형 리츠보다는 사모형 리츠 위주로 운용되고 있어 타인자본 조달 시 주식시장의 자금조달보다는 유형자산(대부분 부동산)의 담보에 의한 차입으로 운영되고 있는 리츠시장을 반영한 것으로 보인다. 또한, 글로벌 금융위기 이후 타인자본을 리츠 사업에 적극적으로 활용하고 있으며, 최대주주의 비중과 성향, 투자상품에 따라 부채비율이 결정되고 있음을 보여준다.

WHICH INFORMATION MOVES PRICES: EVIDENCE FROM DAYS WITH DIVIDEND AND EARNINGS ANNOUNCEMENTS AND INSIDER TRADING

  • Kim, Chan-Wung;Lee, Jae-Ha
    • 재무관리논총
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    • 제3권1호
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    • pp.233-265
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    • 1996
  • We examine the impact of public and private information on price movements using the thirty DJIA stocks and twenty-one NASDAQ stocks. We find that the standard deviation of daily returns on information days (dividend announcement, earnings announcement, insider purchase, or insider sale) is much higher than on no-information days. Both public information matters at the NYSE, probably due to masked identification of insiders. Earnings announcement has the greatest impact for both DJIA and NASDAQ stocks, and there is some evidence of positive impact of insider asle on return volatility of NASDAQ stocks. There has been considerable debate, e.g., French and Roll (1986), over whether market volatility is due to public information or private information-the latter gathered through costly search and only revealed through trading. Public information is composed of (1) marketwide public information such as regularly scheduled federal economic announcements (e.g., employment, GNP, leading indicators) and (2) company-specific public information such as dividend and earnings announcements. Policy makers and corporate insiders have a better access to marketwide private information (e.g., a new monetary policy decision made in the Federal Reserve Board meeting) and company-specific private information, respectively, compated to the general public. Ederington and Lee (1993) show that marketwide public information accounts for most of the observed volatility patterns in interest rate and foreign exchange futures markets. Company-specific public information is explored by Patell and Wolfson (1984) and Jennings and Starks (1985). They show that dividend and earnings announcements induce higher than normal volatility in equity prices. Kyle (1985), Admati and Pfleiderer (1988), Barclay, Litzenberger and Warner (1990), Foster and Viswanathan (1990), Back (1992), and Barclay and Warner (1993) show that the private information help by informed traders and revealed through trading influences market volatility. Cornell and Sirri (1992)' and Meulbroek (1992) investigate the actual insider trading activities in a tender offer case and the prosecuted illegal trading cased, respectively. This paper examines the aggregate and individual impact of marketwide information, company-specific public information, and company-specific private information on equity prices. Specifically, we use the thirty common stocks in the Dow Jones Industrial Average (DJIA) and twenty one National Association of Securities Dealers Automated Quotations (NASDAQ) common stocks to examine how their prices react to information. Marketwide information (public and private) is estimated by the movement in the Standard and Poors (S & P) 500 Index price for the DJIA stocks and the movement in the NASDAQ Composite Index price for the NASDAQ stocks. Divedend and earnings announcements are used as a subset of company-specific public information. The trading activity of corporate insiders (major corporate officers, members of the board of directors, and owners of at least 10 percent of any equity class) with an access to private information can be cannot legally trade on private information. Therefore, most insider transactions are not necessarily based on private information. Nevertheless, we hypothesize that market participants observe how insiders trade in order to infer any information that they cannot possess because insiders tend to buy (sell) when they have good (bad) information about their company. For example, Damodaran and Liu (1993) show that insiders of real estate investment trusts buy (sell) after they receive favorable (unfavorable) appraisal news before the information in these appraisals is released to the public. Price discovery in a competitive multiple-dealership market (NASDAQ) would be different from that in a monopolistic specialist system (NYSE). Consequently, we hypothesize that NASDAQ stocks are affected more by private information (or more precisely, insider trading) than the DJIA stocks. In the next section, we describe our choices of the fifty-one stocks and the public and private information set. We also discuss institutional differences between the NYSE and the NASDAQ market. In Section II, we examine the implications of public and private information for the volatility of daily returns of each stock. In Section III, we turn to the question of the relative importance of individual elements of our information set. Further analysis of the five DJIA stocks and the four NASDAQ stocks that are most sensitive to earnings announcements is given in Section IV, and our results are summarized in Section V.

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