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

Chih Yuan Yang*, Ming Chi Chen


研究成果: 雜誌貢獻期刊論文同行評審

4 引文 斯高帕斯(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.

頁(從 - 到)185-195
期刊Journal of Real Estate Portfolio Management
出版狀態已發佈 - 2009 4月

ASJC Scopus subject areas

  • 管理資訊系統
  • 經濟學、計量經濟學和金融學(雜項)


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