The Role of Co-skewness in the Pricing of Real Estate
AbstractThe current study investigates whether systematic skewness offers an alternative perspective as to why the risk-adjusted returns on real estate should be similar to that for stocks. This is not a trivial issue since an affirmative finding implies that the authors might be incorrectly measuring real estate risk from both a pricing and a portfolio allocation perspective. A multivariate test of the A. Kraus-R. Litzenberger (1976) model is used to investigate this skewness proposition with the K-L CAPM tested against several alternative versions of the CAPM. The study finds that the Kraus-Litzenberger model offers additional insights into the measurement of real estate risk. Evidence is also found that both the zero beta and the consumption-oriented CAPM hold, which is consistent with the recent literature in real estate. Copyright 1992 by Kluwer Academic Publishers
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoArticle provided by Springer in its journal Journal of Real Estate Finance & Economics.
Volume (Year): 5 (1992)
Issue (Month): 3 (September)
Contact details of provider:
Web page: http://www.springerlink.com/link.asp?id=102945
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Thomas C. Chiang & Hooi Hooi Lean & Wing-Keung Wong, 2008. "Do REITs Outperform Stocks and Fixed-Income Assets? New Evidence from Mean-Variance and Stochastic Dominance Approaches," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 1(1), pages 1-40, December.
- Ping Cheng, 2004. "Asymmetric Risk Measures and Real Estate Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 30(1), pages 89-102, October.
- Michael S. Young & Richard A. Graff, 1996. "Systematic Behavior in Real Estate Investment Risk: Performance Persistence in NCREIF Returns," Journal of Real Estate Research, American Real Estate Society, vol. 12(3), pages 369-382.
- Timothy W. Vines & Cheng-Ho Hsieh & John J. Hatem, 1994. "The Role of Systematic Covariance and Coskewness in the Pricing of Real Estate: Evidence from Equity REITs," Journal of Real Estate Research, American Real Estate Society, vol. 9(4), pages 421-430.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn) or (Christopher F. Baum).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.