Sharpe, W. F. 1964. Capital asset prices: A theory of market equilibrium underconditions of risk. The J ournal of Finance, 19(3), 425-442.
Schwert, G. W., and Seguin, P. J. 1990. Heteroskedasticity in stock returns. TheJournal of Finance, 45(4), 1129-1155.
Roll, Richard. 1978. Ambiguity when performance is measured by the securitiesmarket line. The Journal of Finance, 33(4), 1051-1069Rubinstein, Mark E. 1973. A mean?variance synthesis of corporate financialtheory. The Journal of Finance, 28(1), 167-181.
Roll, Richard. 1977. A critique of the asset pricing theory's tests Part I: Onpast and potential testability of the theory. Journal of Financial Economics,4(2), 129-176.
Plazzi, A., Torous, W., and Valkanov, R. 2008. The cross?sectional dispersion ofcommercial real estate returns and rent growth: Time variation andeconomic fluctuations. Real Estate Economics, 36(3), 403-439.
Pettengill, G. N., Sundaram, S., & Mathur, I. 1995. The conditional relationbetween beta and returns. Journal of Financial and Quantitative Analysis,30(01), 101-116.
Peterson, J. D., and Hsieh, C. H. 1997. Do common risk factors in the returns onstocks and bonds explain returns on REITs?. Real Estate Economics,25(2), 321-345.
Ohlson, J., and Rosenberg, B. 1982. Systematic risk of the CRSP equal-weightedcommon stock index: A history estimated by stochastic-parameterregression. The Journal of Business, 55(1), 121-145.
Ng, Lilian. 1991. Tests of the CAPM with time?varying covariances: Amultivariate GARCH approach. The J ournal of Finance, 46(4), 1507-1521.
Mossin, J. 1966. Equilibrium in a capital asset market. Journal of the EconometricSociety, 34(4), 768-783.
Miller, N., and Pandher, G. 2008. Idiosyncratic volatility and the housingmarket. Journal of Housing Research, 17(1), 13-32.
Merton, R. C., 1987, A Simple Model of Capital Market Equilibrium with Incomplete Information, The Journal of Finance 42(3), 483-510
Markowitz, H. 1952. Portfolio selection. The Journal of Finance, 7(1), 77-91.
Liu, C. H., Hartzell, D. J., and Grissom, T. V. 1992. The role of co-skewness inthe pricing of real estate. The J ournal of Real Estate Finance andEconomics, 5(3), 299-319.
Liu, C. H., Hartzell, D. J., Greig, W., and Grissom, T. V. 1990. The integrationof the real estate market and the stock market: Some preliminary evidence. The Journal of Real Estate Finance and Economics, 3(3), 261-282.
Liu, C. H., Grissom, T. V., and Hartzell, D. J. 1990. The impact of marketimperfections on real estate returns and optimal investor portfolios. RealEstate Economics, 18(4), 453-478.
Lintner, J. 1965. Security Prices, Risk, and Maximal Gains fromDiversification. The Journal of Finance, 20(4), 587-615.
Lettau, M., and Ludvigson, S. 2001. Resurrecting the (C)CAPM: A cross-126 -sectional test when risk premia are time-varying. J ournal of PoliticalEconomy, 109(6), 1238-1287.
Kullmann, C. 2001. Real estate and its role in asset pricing. Sauder School ofBusiness Working Paper.
Jegadeesh, N., and Titman, S. 1993. Returns to buying winners and sellinglosers: Implications for stock market efficiency. The Journal of Finance,48(1), 65-91.
Jagannathan, R., and Wang, Z. 1996. The conditional CAPM and thecross-section of expected returns. The Journal of Finance, 51(1), 3-53.
Huang, P., and Hueng, C. J. 2008. Conditional risk?return relationship in atime-varying beta model. Quantitative Finance, 8(4), 381-390.
Harvey, D., Leybourne, S., and Newbold, P. 1997. Testing the equality ofprediction mean squared errors. International J ournal of Forecasting, 13(2),281-291.
Harvey, C. R. 1989. Time-varying conditional covariances in tests of assetpricing models. Journal of Financial Economics, 24(2), 289-317.
Goyal, A., and Santa-Clara, P. 2003. Idiosyncratic risk matters!. AFA 2003Washing, DC Meeting. Available at SSRN:http://dx.doi.org/10.2139/ssm.331921Grossman, S. J., and Laroque, G. 1987. Asset pricing and optimal portfoliochoice in the presence of illiquid durable consumption goods (No. w2369). National Bureau of Economic Research.
Flavin, M., and Nakagawa, S. 2004. A model of housing in the presence ofadjustment costs: A structural interpretation of habit persistence (No. w10458). National Bureau of Economic Research.
Ferson, W. E., and Harvey, C. R. 1999. Conditioning variables and the crosssection of stock returns. The Journal of Finance, 54(4), 1325-1360.
Fama-French의 3요인 모형을 이용한 아파트 수익률 결정요인 분석
조태근『Journal of the Korean Data Analysis Society』13.2 : 989-1002[2011]
Fama, E. F., and MacBeth, J. D. 1973. Risk, return, and equilibrium: Empiricaltests. The Journal of Political Economy, 81(3), 607-636.
Fama, E. F., and French, K. R. 1993. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3-56.
Fama, E. F., and French, K. R. 1992. The cross?section of expected stockreturns. The J ournal of Finance, 47(2), 427-465.
Fabozzi, F. J., and Francis, J. C. 1978. Beta as a random coefficient. Journal ofFinancial and Quantitative Analysis, 13(01), 101-116.
Chen, J. 2002. Intertemporal CAPM and the cross-section of stockreturns. In EFA 2002 Berlin Meetings Discussion Paper .
Chen, C. R. 1982. Time-series analysis of beta stationarity and its determinants:A case of public utilities. Financial Management, 11(3), 64-70.
Chan, K. C., Hendershott, P. H., & Sanders, A. B. 1990. Risk and return onreal estate: evidence from equity REITs. Real Estate Economics, 18(4),431-452.
Case, K. E., and Shiller, R. J. 2003. Is there a bubble in the housing market?. Brookings Papers on Economic Activity, 2003(2), 299-362.
Case, K. E., and Shiller, R. J. 1990. Forecasting prices and excess returns in thehousing market. Real Estate Economics, 18(3), 253-273.
Case, K. E., and Shiller, R. J. 1988. The behavior of home buyers in boom andpost-boom markets (No. w2748). National Bureau of Economic Research.
Case, K. E., Cotter, J., and Gabriel, S. A. 2011. Housing risk and return: Evidencefrom a housing asset-pricing model. Journal of Portfolio Management,37(5), 89-109.
Carhart, M. M. 1997. On persistence in mutual fund performance. The J ournalof Finance, 52(1), 57-82.
Cannon, S., Miller, N. G., and Pandher, G. S. 2006. Risk and return in the UShousing market: A cross?sectional asset?pricing approach. Real EstateEconomics, 34(4), 519-552.
Brooks, R. D., Faff, R. W., and McKenzie, M. D. 1998. Time?varying betarisk of Australian industry portfolios: A comparison of modellingtechniques. Australian J ournal of Management, 23(1), 1-22.
Bos, T., and Newbold, P. 1984. An empirical investigation of the possibility ofstochastic systematic risk in the market model. The Journal of Business,57(1), 35-41.
Bollerslev, T., Engle, R. F., and Wooldridge, J. M. 1988. A capital asset pricingmodel with time-varying covariances. The Journal of Political Economy,96(1), 116-131.
Bodurtha, J. N., and Mark, N. C. 1991. Testing the CAPM with time?varyingrisks and returns. The J ournal of Finance, 46(4), 1485-1505.
Blume, M. E. 1975. Betas and their regression tendencies. The Journal ofFinance, 30(3), 785-795.
Blume, M. E. 1971. On the assessment of risk. The Journal of Finance, 26(1),1-10.
Banz, R. W. 1980. The relative efficiency of various portfolios: some furtherevidence: discussion. The J ournal of Finance, 35(2), 281-283.
Bali, T. G., Cakici, N., Yan, X. S., and Zhang, Z. 2005. Does idiosyncratic riskreally matter?. The J ournal of Finance, 60(2), 905-929.
Baesel, J. B. 1974. On the assessment of risk: Some further considerations. The Journal of Finance, 29(5), 1491-1494.
Ang, A., and Chen, J. 2007. CAPM over the long run: 1926?2001. J ournal ofEmpirical Finance, 14(1), 1-40.
Ang, A., Hodrick, R. J., Xing, Y., and Zhang, X. 2006. The cross?section ofvolatility and expected returns. The Journal of Finance, 61(1), 259-299.
Akgiray, V. 1989. Conditional heteroscedasticity in time series of stock returns:Evidence and forecasts. The Journal of Business, 62(1), 55-80.
Adrian, T., and Franzoni, F. 2009. Learning about beta: Time-varying factorloadings, expected returns, and the conditional CAPM. Journal of EmpiricalFinance, 16(4), 537-556.
'
한국 주택 시장과 CAPM : 칼만필터를 이용한 분석 = Time-variant risk and return using Kalman filter in the Korean housing market'
의 유사주제(
) 논문