자본환원율을 활용한 서울시 오피스 임대시장의 비체계적 위험-수익률 관계

Relationship Between Idiosyncratic Risk and Excess Rate of Return in Seoul Office Rental Market with Capitalization Rate

This study is conducted based on the assumption that the idiosyncratic risk in Sub-office rental markets in Seoul city, which are classified as CBD, GBD, YBD, and ETC(Other regions) area, would show a statistically significant relationship with the capitalization rate. To this end, the data used in this study are the income return data of the entire Seoul and regional office rental markets and CD(91) interest rate corresponding to the first quarter of 2013 to the first quarter of 2021. For the research method, Fama & Macbeth(1973), Kim Sung-shin(2016), and Lee Kyung-geun and Jeon Jae-beom(2021) etc. As a result, idiosyncratic risk are real in CBD, GBD, and YBD regions but ETC area, in CBD, GBD, and YBD, the relationship between idiosyncratic risks and excess capitalization rates was statistically significant but showed a difference in slope. It is believed that the change in office sales prices according to the determinants of idiosyncratic risks differed by region and office market.