상업용부동산의 투자위험 측정지표에 관한 연구

To examine the most useful investment risk measure of the commercial real estate, this study compares representative risk measures such as variance(total risk), semi-variance(downside risk) and betas(systemic risk) of the office market. For the systemic risk, this study adopts not only traditional CAPM but also Consumption based CAPM(CCAPM) and Production based CAPM(PCAPM). The result of empirical analysis says that 1) the systemic risk measures, except for the beta of PCAPM, are better than the total and downside risk measures in explaining the return of office. 2) the beta of CCAPM is most superior among systemic risk measures regarding goodness-to-fit and significance. 3) even though the beta of CCAPM is useful, the model itself is not enough to explain the asset price of office. The single variable CCAPM contains significant alpha or excessive return which is not explained by the beta.