국내 주택시장의 시차가변적 위험 프리미엄 존재에 관한 연구 = Whether or not Time-variant Risk Premia exist in Korea Housing Market

다국어 초록 (Multilingual Abstract)

The purpose of this study is to investigate some empirical evidences about the next two issues. Firstly, there is the existence of the risk premium in Korea housing market. Secondly, if there are the risk premia, whether or not they are time-variant. For this study, I assumed that the domestic housing market in Korea is considered as one of the investment markets, and it is composed of three major assets; Apartment(APT), Detached House(DH), and Row House(RH). There are two types of investment strategies; Sales and Jeonse Lease. For empirical analysis, I construct the applied model that combine CAPM and IGARCH-M model. The results of this research are follows: 1) In sales market, there are time variant risk premia in the APT returns, time invariant risk discount in the DH returns, and time variant risk discount in the RH returns. 2) In Lease market, there are time variant risk premia in the APT price changes, time variant risk discount in the DH and the RH price changes. 3) Particularly, the risk premia of APT yields for sale sharply reduced during the last 10 years, but the risk premia of APT rental price changes maintains during the same period. Eventually, the reversal phenomenon occurred between the sales market and the lease market. So, the risky investor who pursue a high returns under high risk using the leverage, may prefer the lease investment strategy to the sales strategy in recent years

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