지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
커뮤니티
연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
초록· 키워드
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Real estate market is regarded as inefficient and the belief provides grounds for the arguments on price bubble and government regulation. Most empirical analyses on the housing market in Korea support the belief as well. This study conducts an analysis on the efficiency of the office market in Seoul through two tests using random walk model and dividend discount model, respectively. The empirical result suggests that through the random walk model the market turned out to be inefficient as the return of office could be explained by ARIMA model, while the efficiency was accepted in the dividend discount model as the capitalization rate could be explained by ‘ex-post’ return and NOI growth rate. From the point of view that how fully and immediately the price reflects the information is critical for the market efficiency, this result does not support the efficiency of the market. The poor efficiency, however, could not be an ample evidence of price bubble. Because price bubble used to be based on the absence of investors’ rationality as well.
목차
Abstract
Ⅰ. 서론
Ⅱ. 선행연구
Ⅲ. 분석모형
Ⅳ. 실증분석
Ⅴ. 결론
인용문헌
참고문헌 (14)
참고문헌 신청
1. [학술지(정기간행물)] - Campbell, J / 1988 / The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors / Review of Financial Studies 1 (3) : 195 ~ 228
2. [학술지(정기간행물)] - Case, K / 1989 / The Efficiency of the Market for Single-Family Homes / American Economic Review 79 (1) : 125 ~ 137
3. [학술지(정기간행물)] - Fama, E / 1965 / Random Walks in Stock Market Prices / Financial Analysts Journal 21 (5) : 55 ~ 59
4. [학술지(정기간행물)] - Fama, E / 1970 / Efficient Capital Markets: A Review of Theory and Empirical Work / Journal of Finance 25 (2) : 383 ~ 417
5. [학술지(정기간행물)] - Flavin, M / 1983 / Excess Volatility in the Financial Markets: A Reassessment of the Empirical Evidence / Journal of Political Economy 91 (6) : 929 ~ 956
2. [학술지(정기간행물)] - Case, K / 1989 / The Efficiency of the Market for Single-Family Homes / American Economic Review 79 (1) : 125 ~ 137
3. [학술지(정기간행물)] - Fama, E / 1965 / Random Walks in Stock Market Prices / Financial Analysts Journal 21 (5) : 55 ~ 59
4. [학술지(정기간행물)] - Fama, E / 1970 / Efficient Capital Markets: A Review of Theory and Empirical Work / Journal of Finance 25 (2) : 383 ~ 417
5. [학술지(정기간행물)] - Flavin, M / 1983 / Excess Volatility in the Financial Markets: A Reassessment of the Empirical Evidence / Journal of Political Economy 91 (6) : 929 ~ 956
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UCI(KEPA) : I410-ECN-0101-2014-539-000198802