CAPM을 이용한 한국주택시장의 가격균형에 관한 연구

다국어 초록 (Multilingual Abstract)

The house in real estate market is an economic goods that is an efficient indicator estimating the quality of life as well as a way for accumulating wealth. Accordingly, this research did the empirical analysis with respect to the possibility of applying Capital Asset Pricing Model (CAPM) to the Korea housing market through the results of the fluctuation rate of national house price, which is time－series data regarding the house. The analysis results regarding the possibility of applying CAPM to the Korean housing market are as follows. Firstly, this research shows that the fluctuation rate of national house transaction price and systemic risk do not have linear relationship. Secondly, this research shows that systemic risk and unsystematic risk affect the fluctuation rate of national house transaction price. Thirdly, this research shows that CAPM is not applicable to in Korean real estate market, which is based on comparing results by substituting nonlinearity of systematic and unsystematic risk into the fluctuation rate of national house transaction price. Fourthly, the fluctuation rate of national house transaction price does not have relationship with nonlinearity of systematic risk. In comparing the results of this study and results of CAPM in existing capital market, linearity of coefficient and the rate of profitability has linear relationship in the long run, however, linear relationship does not explain efficiently Korean real estate market. We should consider non－linear relationship in Korean real estate market as well.