Please use this identifier to cite or link to this item:
Title: Co-skewness and co-kurtosis in global real estate securities
Authors: Liow, K.H. 
Chan, L.C.W.J.
Keywords: Co-kurtosis
Higher-moment CAPM
Risk premia
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.
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
ISSN: 09599916
DOI: 10.1080/09599910500453798
Appears in Collections:Staff Publications

Show full item record
Files in This Item:
There are no files associated with this item.


checked on Apr 19, 2021

Page view(s)

checked on Apr 13, 2021

Google ScholarTM



Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.