1. NCCU Academic Hub
  2. 學術產出
  3. College of Commerce
  4. Periodical Articles
  5. Item

學術產出-Periodical Articles

Article View/Open

Publication Export

Google ScholarTM

政大圖書館

Citation Infomation

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 24-Aug-2015 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 http://dx.doi.org/10.1016/j.rfe.2008.03.001
dc.contributor 財管系
dc.creator (作者) Lu, Chiuling;Wu, Sheng-Ching;Ho, Lan-Chih
dc.creator (作者) 盧秋玲zh_TW
dc.date (日期) 2009-04
dc.date.accessioned 24-Aug-2015 12:07:01 (UTC+8)-
dc.date.available 24-Aug-2015 12:07:01 (UTC+8)-
dc.date.issued (上傳時間) 24-Aug-2015 12:07:01 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/77954-
dc.description.abstract (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.
dc.format.extent 151253 bytes-
dc.format.mimetype application/pdf-
dc.relation (關聯) Review of Financial Economics, 18(2), 97-102
dc.subject (關鍵詞) Value-at-Risk;Real Estate Investment Trusts (REITs);Risk management
dc.title (題名) Applying VaR to REITs: A comparison of alternative methods
dc.type (資料類型) articleen
dc.identifier.doi (DOI) 10.1016/j.rfe.2008.03.001
dc.doi.uri (DOI) http://dx.doi.org/10.1016/j.rfe.2008.03.001