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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
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    題名: Applying VaR to REITs: A comparison of alternative methods
    作者: Lu, Chiuling;Wu, Sheng-Ching;Ho, Lan-Chih
    盧秋玲
    貢獻者: 財管系
    關鍵詞: Value-at-Risk;Real Estate Investment Trusts (REITs);Risk management
    日期: 2009-04
    上傳時間: 2015-08-24 12:07:01 (UTC+8)
    摘要: 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.
    關聯: Review of Financial Economics, 18(2), 97-102
    資料類型: article
    DOI 連結: http://dx.doi.org/10.1016/j.rfe.2008.03.001
    DOI: 10.1016/j.rfe.2008.03.001
    顯示於類別:[財務管理學系] 期刊論文

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