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The role of co-skewness in the pricing of real estate · Study

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ArticleThe role of co-skewness in the pricing of real estate

Crocker Herbert Liu1992

Article1992

The role of co-skewness in the pricing of real estate

Crocker Herbert Liu · David J. Hartzell · Terry Grissom

33 citations·0/0 files stored·The Journal of Real Estate Finance and Economics

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Financial Markets and Investment Strategies Housing Market and Economics Financial Risk and Volatility Modeling

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References

1990Econometric Models and Economic Forecasts 1977A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory 1921Survey of current business 1976SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*1980An Empirical Investigation of the Arbitrage Pricing Theory 1989Empirical Tests of the Consumption‐Oriented CAPM 1982Multivariate tests of financial models 1982On the exclusion of assets from tests of the two-parameter model

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1994Statistical properties of returns: Financial assets versus commercial real estate 1996Real estate return correlations: Real-world limitations on relationships inferred from NCREIF data 2008Downside Beta and the Cross-sectional Determinants of Listed Property Trust Returns

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Year1992

Typearticle

Published1992-09-01

VenueThe Journal of Real Estate Finance and Economics

ISSN-L0895-5638

Languageen

Citations33

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1007/bf02341917

openalex_workW2017449009

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