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• W104905652 abstract "The research reported upon in this thesis consists of two parts.First, a discussion of the theoretical development of the capital assetpricing model and its applications, as reviewed in the financeliterature, is presented. Second, a detailed empirical investigationinto the applicability of the model to various aspects of the analysisof real estate investment is undertaken.CAPM is presented as a framework for the analysis of competinginvestment choices in an uncertain world. The theoreticaldevelopment is traced from a single period consumption or deferconsumption problem in state preference theory, through to theobtaining of maximum utility from a portfolio of assets in a world ofuncertainty. The model is next demonstrated with regard to its usefor tests of information efficiency in the market, the evaluation ofinvestment projects and the assessment of investment performance. Extensive testing of the capital asset pricing model has beenundertaken in the financial securities markets. It is also included asa fundamental component of most corporate finance texts concernedwith project investment analysis and the monitoring or assessment ofthe performance of portfolios of financial .securities. Developments,refinements and alternative models discussed within the literature,which result from the ongoing research efforts in these areas, aresummarized.Almost all of the empirical testing and applications of the capitalasset pricing model discussed in the finance literature are concernedwith financial securities. This is a little surprising in the light ofthe generality of the model in its theoretical form. However, dataavailability, in the form of share price files for various stockmarkets, is very likely a major contributing factor for thepredominant concentration of research in the equities section of theasset market. Applicability of the capital asset pricing model to the propertymarket is considered next. Real estate transaction information isreviewed and a number of simplifications and abstractions from whatis conceptually desirable are explained. Data files for the empiricalexperiments undertaken are compiled from a number of sources.While the lack of price and return information may have inhibitedearlier research into the usefulness of the capital asset pricing modelfor real estate investment analysis, it may also result in the modelbeing inappropriate. This possibility is considered in detail.The link between the capital asset pricing model and information isexamined by empirical tests of the three forms of the efficient markethypothesis. First, the weak form and the distributional propertiesof the returns are analysed. Second, the semi-strong form isinvestigated with an announcement effect study. Third, thestrong form is considered with an examination of portfolioperformance. The theoretical justification for applying the model tospecific applications is dependent upon the level at which theefficient market hypothesis is accepted.Real estate provides a new area for considering the relative pricingof an asset in an equilibrium framework known as the capital assetpricing model. The research reported makes a useful contribution tocapital market finance by empirically testing, in a thoroughstatistical manner, the applicability of a general theory to asignificant submarket of the Australian asset market viz, the realestate (property) market." @default.
• W104905652 created "2016-06-24" @default.
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• W104905652 date "1987-01-01" @default.
• W104905652 modified "2023-09-27" @default.
• W104905652 title "The capital asset pricing model and real estate investment analysis" @default.
• W104905652 hasPublicationYear "1987" @default.
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