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To analyze which factors critically affect the stock prices of REITs, we develop a modified model for REITs pricing based on a dividend pricing model and estimate the determinants of the stock prices of REITs using a sample of CR REITs traded in Korea Stock Exchange Market. Our estimation method(TSCS) fully takes account of heterogeneity of the REITs stocks and cross-sectional correlation of error terms. Estimation results show that the price of REITs is negatively affected by the prices of other financial assets such as corporate stocks and bonds and positively affected by rents from the tenants of properties managed by the REITs. This partly implies that the dividend pricing model is appropriate for the valuation of CR REITs in Korea. Also, the price of REITs is influenced by the characteristics of the properties. Our results show that the number of properties consisting of a REIT negatively affects the price and the price of a REIT is higher when the properties of a REIT are composed of buildings for different uses.