earticle

영어

Asymmetric risk measure have been used for modelling nonnormal returns distributions. Real estate returns are known to the representative asymmetric nonnormal distribution. This paper investigates which model based on asymmetric risk measures explain the variability of returns better in Korean housing sales markets. The model is general Asymmetric Response Model(ARM) nested with Lower Partial Moment(LPM) Model and CAPM. The results indicated that ARM is more value added than the other models for some housing in types, regions, and time periods. Presumably it is because Korea real estate markets are more transparent than before 1997 foreign exchange crisis, and diffusion ratio of house in some regions is higher than others. So, continuing reviews for the various models are required to analyze precisely the type/region of housing markets.