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Asymmetric Risk Measures and Real Estate Returns

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  • Ping Cheng

Abstract

Rational 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

Suggested Citation

  • 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.
    • Handle: RePEc:kap:jrefec:v:30:y:2004:i:1:p:89-102
    DOI: 10.1007/s11146-004-4833-9
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    References listed on IDEAS

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