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政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 > Item 140.119/77954

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/77954

Title:	Applying VaR to REITs: A comparison of alternative methods
Authors:	Lu, Chiuling;Wu, Sheng-Ching;Ho, Lan-Chih 盧秋玲
Contributors:	財管系
Keywords:	Value-at-Risk;Real Estate Investment Trusts (REITs);Risk management
Date:	2009-04
Issue Date:	2015-08-24 12:07:01 (UTC+8)
Abstract:	This study employs five methods to calculate the VaR of twelve REITs portfolios and evaluates the accuracy of these methods. Firstly, we find that the VaR varies among individual portfolios. The Hotel REITs has consistently the largest VaR. The low-leveraging portfolio tends to have the largest VaR measured by the parametric methods, while the high leveraging portfolio has the largest VaR calculated by the non-parametric methods. Secondly, each method performs differently at different confidence levels, and no method dominates the others. At the 95% confidence level, the EWMA method performs relatively well. The EQWMA and the two non-parametric methods perform equivalently and slightly overestimate VaRs. The EQWMAT method ranks the bottom and significantly overestimates VaRs for all portfolios. At the 99% confidence level, the EQWMA method performs the best. The EQWMAT and the two non-parametric methods perform equivalently and may overestimate VaR for all portfolios. The EWMA method turns out to be the worst and tends to underestimate the VaR. These findings may provide more insights for institutional real estate investors.
Relation:	Review of Financial Economics, 18(2), 97-102
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1016/j.rfe.2008.03.001
DOI:	10.1016/j.rfe.2008.03.001
Appears in Collections:	[財務管理學系] 期刊論文

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