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@article{ART001939297},
author={Roh, Sangyoun and Min, Seonghun},
title={An Application of EGARCH-M Model on Analysing Real Estate Market with CAPM},
journal={Korea Real Estate Review},
issn={2092-5395},
year={2014},
volume={24},
number={4},
pages={195-205}

TY - JOUR
AU - Roh, Sangyoun
AU - Min, Seonghun
TI - An Application of EGARCH-M Model on Analysing Real Estate Market with CAPM
JO - Korea Real Estate Review
PY - 2014
VL - 24
IS - 4
PB - korea real estate research institute
SP - 195
EP - 205
SN - 2092-5395
AB - An analysis on the real estate market with CAPM was conducted using EGARCH-M model which contains stock return as well as average real estate market return as the proxy of market return in the CAPM formula. The empirical results suggest that: first, stock market return is significant as market return when using EGARCH-M model contrary to most previous literature using OLS, second, there is time-varying non-systemic risk premium in real estate market, third, the variance of return is asymmetric to the market information, forth, the correlation of stock return and real estate return is turned to positive(+) after Oct. 2009, last, the correlation of average real estate return and real estate return decreased after Oct. 2009.
KW - capitalassetpricingmodel;generalizedautoregressiveconditional heteroscedasticity model;time-variant risk premium;housing market
DO -
UR -
ER -

Roh, Sangyoun and Min, Seonghun. (2014). An Application of EGARCH-M Model on Analysing Real Estate Market with CAPM. Korea Real Estate Review, 24(4), 195-205.

Roh, Sangyoun and Min, Seonghun. 2014, "An Application of EGARCH-M Model on Analysing Real Estate Market with CAPM", Korea Real Estate Review, vol.24, no.4 pp.195-205.

Roh, Sangyoun, Min, Seonghun "An Application of EGARCH-M Model on Analysing Real Estate Market with CAPM" Korea Real Estate Review 24.4 pp.195-205 (2014) : 195.

Roh, Sangyoun, Min, Seonghun. An Application of EGARCH-M Model on Analysing Real Estate Market with CAPM. 2014; 24(4), 195-205.

Roh, Sangyoun and Min, Seonghun. "An Application of EGARCH-M Model on Analysing Real Estate Market with CAPM" Korea Real Estate Review 24, no.4 (2014) : 195-205.

Roh, Sangyoun; Min, Seonghun. An Application of EGARCH-M Model on Analysing Real Estate Market with CAPM. Korea Real Estate Review, 24(4), 195-205.

Roh, Sangyoun; Min, Seonghun. An Application of EGARCH-M Model on Analysing Real Estate Market with CAPM. Korea Real Estate Review. 2014; 24(4) 195-205.

Roh, Sangyoun, Min, Seonghun. An Application of EGARCH-M Model on Analysing Real Estate Market with CAPM. 2014; 24(4), 195-205.

Roh, Sangyoun and Min, Seonghun. "An Application of EGARCH-M Model on Analysing Real Estate Market with CAPM" Korea Real Estate Review 24, no.4 (2014) : 195-205.