서울의 상업용 부동산 시장에서 자본환원율을 이용한 시장 효율성과 CAPM의 검증

This paper is to understand the impact of systematic risk on capitalization rate at office building market and retail real estate market in Seoul and to see if CAPM (Capital Asset Pricing Model) is applicable. For this, this paper considers eight different office building and retail real estate markets in Seoul city area, called GBD, YBD, CBD, and Other Business District, and GBD, SBD, CBD, and Other Business District, to find out if there is any positivelinearity between systematic risk and capitalization rate for each business district not. Then, this paper tries to verify applicability of CAPM to four office building markets and four retail real estate markets with Black, Jensen, and Scholes(1972)'s statistical methodology. At last, the result shows that there is positive linearity between systematic risk and capitalization rate only GBD except Others(YBD , CBD , and other business district) in office building market. In addtion, SBD and CBD, they could be figured out that it is not efficient market because increasing systematic risk declines capitalization rate in retail real estate market. However, CAPM is not applicable in all office buildingG( BD, YBD, CBD, and other business district) and retail real estate marketsG(BD, SBD, CBD, and other business district) in Seoul.