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Applicability of CAPM (Capital Asset Pricing Model) to Office Building Market in Seoul

서울의 오피스빌딩 시장에서 자본자산가격결정모형(CAPM) 의 적용가능성

  • Park, Jong-Kwon ;
  • Jun, Jae-Bum
  • 박종권 ;
  • 전재범
  • Received : 2015.06.04
  • Accepted : 2015.08.13
  • Published : 2015.08.30

Abstract

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.

Keywords

Commercial Real Estate;Office Building Market;CAPM(Capital Asset Pricing Model);Systematic Risk;Seoul City

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