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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/71481


    Title: The Role of Co-Kurtosis in the Pricing of Real Estate
    Authors: 陳明吉
    Yang, Chih-Yuan;Ming-Chi Chen
    Contributors: 財管系
    Date: 2009
    Issue Date: 2014-11-14 18:16:45 (UTC+8)
    Abstract: Most prior studies in real estate ignore the existence of systematic kurtosis risk. Using a four-moment capital asset pricing model, this paper examines the impact of co-kurtosis on real estate pricing. It shows that, in the presence of kurtosis, the expected excess rate of return is related not only to the systematic variance and systematic skewness, but also to systematic kurtosis. Investors should request more compensation in terms of expected excess rate of return because they bearing higher co-kurtosis risk. The results point out that real estate systematic kurtosis displays significant risk-return characteristic, and that systematic variance and co-kurtosis are more important than co-skewness in pricing real estate securities. The findings offer additional insights into the measurement of real estate risk. The lack of consideration of systematic kurtosis may lead to an insufficient and irrational premium for the investment risk.
    Relation: Journal of Real Estate Portfolio Management, 15(2), 185-196
    Data Type: article
    Appears in Collections:[Department of Statistics] Periodical Articles

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