KJCKorea
Journal Central

@article{ART001939297},
author={Roh, Sang Youn and Seonghun Min},
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, Sang Youn
AU - Seonghun Min
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, Sang Youn and Seonghun Min. (2014). An Application of EGARCH-M Model on Analysing Real Estate Market with CAPM. Korea Real Estate Review, 24(4), 195-205.

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

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

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

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

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

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