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The Role of Co-skewness in the Pricing of Real Estate

Listed author(s):
  • Liu, Crocker H
  • Hartzell, David J
  • Grissom, Terry V
Registered author(s):

    The 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

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    Article provided by Springer in its journal Journal of Real Estate Finance & Economics.

    Volume (Year): 5 (1992)
    Issue (Month): 3 (September)
    Pages: 299-319

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    Handle: RePEc:kap:jrefec:v:5:y:1992:i:3:p:299-319
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