오피스 투자수익률과 투자심리의 관계에 대한 연구

초록

In this study, we examines the relationship between office total return and investor sentiment. Utilizing the Bank of Korea's Consumer Sentiment Index (CSI) as proxy for investor sentiment, we analyzes the relationship between total return and investor sentiment. We control macro economic variables, such as risk free rate, exchange rate, KOSPI, and default risk premium, to isolate the fundamental economic effect, rational sentiment and idiosyncratic effect, and irrational sentiment. Using the VAR (Vector Auto Regressive) model, we investigate the lead and lag relationship among our key variables; sentiment variables and return proxy; income return and capital return, as well as total return. As a result, we find a significant coefficient on macro economic variables, such as employment rate, KOSPI, risk free rate, default risk premium, and inflation rate. Furthermore, irrational sentiment does not affect total return, while rational sentiment affects total return and income return.

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