아파트 전세가격지수의 체계적 위험 - 초과수익률에 관한 연구 - 아파트 전세가격지수와 전세 실거래가격지수를 중심으로 -

초록

In Korea, although APT Jeonse was widely used in the residential and non-residential sectors based on APT Jeonse prices, social consensus on the exponential trend of the APT price index is needed. therefore in this study, APT Jeonse price Index and the APT Jeonse actual transaction price index of THE KOREA REAL ESTATE BOARD were applied to CAPM for checking the market efficiency, systematic risk-excess rate of return relationship, and characteristic of APT Jeonse price index. As a result, First, both the APT Jeonse price index and the APT Jeonse actual transaction price index represented market efficiency but denied the applicability of CAPM, Second, return, excess rate of return, and systematic risk-excess rate of return of the APT Jeonse actual transaction price index were higher than that of the APT Jeonse price Index, Third, return, excess rate of return, and systematic risk-excess rate of return were different by the region, and Fourth, return, excess rate of return, and systematic risk-excess ate of return were separated by the region.

키워드