Advanced SearchSearch Tips
Applicability of CAPM (Capital Asset Pricing Model) to Office Building Market in Seoul
facebook(new window)  Pirnt(new window) E-mail(new window) Excel Download
 Title & Authors
Applicability of CAPM (Capital Asset Pricing Model) to Office Building Market in Seoul
Park, Jong-Kwon; Jun, Jae-Bum;
This research aims to find out the impact of systematic risk on risk-premium and understand if CAPM (Capital Asset Pricing Model) is applicable to office building market at Seoul city in South Korea. In light of this notion, this research, specifically, considers four different office building markets in Seoul city area, called GBD(Gangnam Business District), YBD(Yeouido Business District), CBD(Central Business District), and Other Business District, to figure out whether there exists any positive-linearity between systematic risk and risk-premium for each business district. Afterward, this research seeks to verify applicability of CAPM to four office building markets based upon Black, Jensen, and Scholes(1972)'s statistical method. Finally, the results show some meaningful findings that there is positive linear-relationship between systematic risk and risk-premium in all business districts apart from YBD, which means capital-asset could be fairly priced in GBD, CBD, and other Business District, and that the applicability of CAPM should be only taken into account in Other Business District.
Commercial Real Estate;Office Building Market;CAPM(Capital Asset Pricing Model);Systematic Risk;Seoul City;
 Cited by
상업용 부동산 시장의 분산투자에 관한 연구 - 서울지역의 오피스 빌딩 및 소매용 부동산 시장을 중심으로 -,박종권;전재범;

한국건설관리학회논문집, 2015. vol.16. 6, pp.144-155 crossref(new window)
패널연립방정식을 이용한 오피스 시장 예측에 관한 실증연구,전해정;

대한건축학회논문집:계획계, 2016. vol.32. 7, pp.57-64 crossref(new window)
Bank of Korea. Economic Statistics System. Retrieved April 15, 2015 from

Black, F., Jensen, M., & Scholes, M. (1972). The Capital Asset Pricing Model : Some Empirical Test. New York : Praeger Publishers, 79-121.

Fama, E., & Macbeth, J. (1973). Risk, Return and Equilibrium: Empirical Tests. Journal of Political Economy, 81(3), 607-636. crossref(new window)

Jun, J. B. (2013). Lecture Note of Real Estate Investment Theory at Kangwon National University.

Kim, H., & Kim, H. (2006). A Study on the Characteristics of Regional Land Price Fluctuation Using CAPM in Korea. Journal of Korea Planning Association, 41(2), 121-137.

Kim, M. (1998). An Empirical Study on the Application Possibility of the Capital Asset Pricing Model in Korea Land Market. Thesis, Konkuk University, 72.

Kim, Y., Ahn, S., Oh, J., Lee, C., & Jung, S. (2002). Real Estate Finance. Hyeong-Seol Publisher.

Lee, S., & Lee, H. (2005). Estimation of Capitalization Rates and Gross Income Multipliers in Seoul Office Market. Journal of Korea Planning Association, 40(6), 245-256.

Lintner, J.(1965). The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets. The Review of Economics and Statistics, 47(1), 13-37. crossref(new window)

Markowitz, H. (1952). Portfolio Selection. The Journal of Finance, 7(1), 77-91.

Min, S. (1999). Study on the Methods of Risk Measurement for the Valuation of Real Estate Investment. Thesis, Yonsei University, 133.

Min, S., & Koh, S. (2013). A Test on the Efficiency of the Office Market in Seoul. Journal of Korea Planning Association, 48(1), 69-79.

Ministry of Land, Infrastructure, and Transport & Korea Appraisal Board. Leasing Trends Survey of Commercial Real Estate Market, (2009-2014).

Moon, H., & Cho, J. (2012). A Study on the Risk Premium through Office Capitalization Rate Analysis, Journal of Korea Planning Association, 47(3), 345-361.

Mossin, J. (1966). Equilibrium in a Capital Asset Market. The Econometric Society Econometrica, 34(4), 768-783. crossref(new window)

Ross, S., Westerfield, R., & Jaffe, J. (2009). Corporate Finance. 9th ed, McGraw-Hill.

Ryu, T. (1993). An Empirical Study of the Capital Asset Pricing Model in Korea Real Estate Market Analysis. Thesis, Korea University, 42.

Sharpe, W. (1964). A Theory of Market Equilibrium under Conditions of Risk, The Journal of Finance, 19(3), 425-442

Shin, J. (1993). A Study on the Application of the Capital Asset Pricing Model to the Land Market in Korea. Ph.D. Dissertation, Incheon University, 181.

ShinYoung Asset. (2014). Office Market Report.

Suh, B., & Kim, J. (2006). A Study on the Price Equilibrium of Korea Housing Market Using CAPM. Journal Finance and Accounting Information, 6(2), 44-72.

Yoo, J., Lee, J., & Son, J. (2010). A Preliminary Study on Application of CAPM to Seoul Housing Sub-markets, Journal of the Korea Real Estate Analysts Association, 16(2), 39-57.