Asymmetric Risk Measures and Real Estate Returns
AbstractRational investors distinguish between extremely high and extremely low returns. The measures of investment risk should reflect such asymmetric risk perception. This study presents six asymmetric risk metrics and empirically tests their abilities in explaining the cross-sectional variations of real estate returns. It finds strong evidence that systematic downside risk is associated with a risk premium, and skewness provides significant explanatory power to the variation of cross-sectional property returns. On the other hand, co-skewness does not explain real estate returns well and is not a good systematic risk measure. Copyright Springer Science + Business Media, Inc. 2004
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Bibliographic InfoArticle provided by Springer in its journal The Journal of Real Estate Finance and Economics.
Volume (Year): 30 (2004)
Issue (Month): 1 (October)
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Web page: http://www.springerlink.com/link.asp?id=102945
asymmetric risk; real estate returns; portfolio management; skewness;
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