The role of co-kurtosis in the pricing of real estate

Chih Yuan Yang*, Ming Chi Chen

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

4 Citations (Scopus)


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.

Original languageEnglish
Pages (from-to)185-195
Number of pages11
JournalJournal of Real Estate Portfolio Management
Issue number2
Publication statusPublished - 2009 Apr
Externally publishedYes

ASJC Scopus subject areas

  • Management Information Systems
  • Economics, Econometrics and Finance (miscellaneous)


Dive into the research topics of 'The role of co-kurtosis in the pricing of real estate'. Together they form a unique fingerprint.

Cite this