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dc.contributor.authorLiu, Crocker H.
dc.contributor.authorHartzell, David J.
dc.contributor.authorGrissom, Terry V.
dc.date.accessioned2020-09-12T21:13:55Z
dc.date.available2020-09-12T21:13:55Z
dc.date.issued1992-01-01
dc.identifier.other5413020
dc.identifier.urihttps://hdl.handle.net/1813/72442
dc.description.abstractThe current study investigates whether systematic skewness offers an alternative perspective as to why the risk-adjusted returns on real estate should be similar to that for stocks. This is not a trivial issue since an affirmative finding implies that we might be incorrectly measuring real estate risk from both a pricing and a portfolio allocation perspective. A multivariate test of the Kraus-Litzenberger model is used to investigate this skewness proposition with the K-L CAPM tested against several alternative versions of the CAPM. The study finds that the Kraus-Litzenberger model offers additional insights into the measurement of real estate risk. Evidence is also found that both the zero beta and the consumption-oriented CAPM hold, which is consistent with the recent literature in real estate.
dc.language.isoen_US
dc.rightsRequired Publisher Statement: © Springer. Final version published as: Liu, C. H., Hartzell, D. J., & Grissom, T. V. (1992). The role of co-skewness in the pricing of real estate. Journal of Real Estate Finance and Economics, 5(3), 299-319. Reprinted with permission. All rights reserved.
dc.subjectskewness
dc.subjectCAPM
dc.subjectcommingled real estate funds
dc.subjectsmoothing
dc.titleThe Role of Co-Skewness in the Pricing of Real Estate
dc.typearticle
dc.relation.doihttps://doi.org/10.1007/BF02341917
dc.description.legacydownloadsLiu31_The_role_of_co_skewness.pdf: 671 downloads, before Aug. 1, 2020.
local.authorAffiliationLiu, Crocker H.: chl62@cornell.edu Cornell University
local.authorAffiliationHartzell, David J.: University of North Carolina at Chapel Hill
local.authorAffiliationGrissom, Terry V.: Texas A & M University


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