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|Title:||Co-skewness and co-kurtosis in global real estate securities||Authors:||Liow, K.H.
|Issue Date:||2005||Citation:||Liow, K.H., Chan, L.C.W.J. (2005). Co-skewness and co-kurtosis in global real estate securities. Journal of Property Research 22 (2-3) : 163-203. ScholarBank@NUS Repository. https://doi.org/10.1080/09599910500453798||Abstract:||We explore the question of whether co-skewness and co-kurtosis risk measures can be added to supplement to the covariance risk in pricing global real estate securities and risk premium estimation. Based on a generalized four-moment CAPM with two alternative world market proxies, we examine Linear, Quadratic and Cubic Market Models using GMM and time-varying Kalman-Filter methodologies. Our results show that the second moment is important in explaining real estate securities returns. Furthermore, some real estate securities also display significant time-varying co-skewness and/or co-kurtosis. Co-kurtosis is more important than co-skewness in pricing global real estate securities. We further find that the co-skewness and co-kurtosis coefficients and the resulting risk premia are sensitive to the market proxy used. The findings of this study provide additional insights into the risk-return characteristics, pricing and portfolio design in global real estate securities. © 2005 Taylor & Francis.||Source Title:||Journal of Property Research||URI:||http://scholarbank.nus.edu.sg/handle/10635/46110||ISSN:||09599916||DOI:||10.1080/09599910500453798|
|Appears in Collections:||Staff Publications|
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