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This paper carries out an asset-pricing analysis of the Ulsan housing market. We use individual apartment price data to investigate the cross-sectional role of the systematic risk beta and the idiosyncratic risk in explaining housing return, applying the methodology proposed by Black, Jensen and Scholes(1972). Data cover the period of September, 2005 to August, 2015. We find statistically significant influences of the beta and the idiosyncratic risk on housing returns, even though the strict CAPM conditions, from the standpoint of Black, Jensen and Scholes, do not hold. In case of total rate of return which includes Jeonse return, the test results reflect the feature that housing investment serves the dual purpose of investment and consumption.
이 et al. (Fri,) studied this question.