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@article{ART002177524},
author={김중득 and Lee, Young Soo},
title={Time-varying Beta of K-housing Market: Fitting and Forecast},
journal={Korea Real Estate Review},
issn={2092-5395},
year={2016},
volume={26},
number={4},
pages={41-60}

TY - JOUR
AU - 김중득
AU - Lee, Young Soo
TI - Time-varying Beta of K-housing Market: Fitting and Forecast
JO - Korea Real Estate Review
PY - 2016
VL - 26
IS - 4
PB - korea real estate research institute
SP - 41
EP - 60
SN - 2092-5395
AB - This paper investigates the time-varying behavior of beta for Korea housing market using monthly housing pricing indices of borough in Seoul and Busan over the period 2003-2014. In this paper, we focus on tests based on Kalman filter. First, in order to know whether betas have varied substantially over time, this paper estimates time-varying betas using the Kalman filter algorithm in the framework of a state-space model. Second, we compare the fitting and forecast ability of two different time-varying beta models(using AR(1) and random walk process) and use the constant beta of the single factor model as a benchmark. Our results find that in time-series test, measures of forecast errors overwhelmingly support the Kalman filter method implying betas are time-varying substantially over time. In comparison of time-varying betas, Betas of AR(1) process are preferred to random walk process in sample fitting performances and betas of random walk process provide more accurate forecast.
KW - time-varying beta;CAPM;Kalman filter;fitting;forecast
DO -
UR -
ER -

김중득 and Lee, Young Soo. (2016). Time-varying Beta of K-housing Market: Fitting and Forecast. Korea Real Estate Review, 26(4), 41-60.

김중득 and Lee, Young Soo. 2016, "Time-varying Beta of K-housing Market: Fitting and Forecast", Korea Real Estate Review, vol.26, no.4 pp.41-60.

김중득, Lee, Young Soo "Time-varying Beta of K-housing Market: Fitting and Forecast" Korea Real Estate Review 26.4 pp.41-60 (2016) : 41.

김중득, Lee, Young Soo. Time-varying Beta of K-housing Market: Fitting and Forecast. 2016; 26(4), 41-60.

김중득 and Lee, Young Soo. "Time-varying Beta of K-housing Market: Fitting and Forecast" Korea Real Estate Review 26, no.4 (2016) : 41-60.

김중득; Lee, Young Soo. Time-varying Beta of K-housing Market: Fitting and Forecast. Korea Real Estate Review, 26(4), 41-60.

김중득; Lee, Young Soo. Time-varying Beta of K-housing Market: Fitting and Forecast. Korea Real Estate Review. 2016; 26(4) 41-60.

김중득, Lee, Young Soo. Time-varying Beta of K-housing Market: Fitting and Forecast. 2016; 26(4), 41-60.

김중득 and Lee, Young Soo. "Time-varying Beta of K-housing Market: Fitting and Forecast" Korea Real Estate Review 26, no.4 (2016) : 41-60.