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- Title
Asymmetric Risk Measures and Real Estate Returns.
- Authors
Cheng, Ping
- 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.
- Subjects
REAL property; REAL property &; taxation; EFFECT of taxation on land use; REAL estate sales tax; RATE of return; BUILDINGS
- Publication
Journal of Real Estate Finance & Economics, 2005, Vol 30, Issue 1, p89
- ISSN
0895-5638
- Publication type
Article
- DOI
10.1007/s11146-004-4833-9