Title

Extreme Risk Measures for International REIT Markets

Authors

Authors

J. Zhou;R. I. Anderson

Comments

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Abbreviated Journal Title

J. Real Estate Financ. Econ.

Keywords

Value-at-Risk; Expected shortfall; Extreme risks; Financial crisis; REITs; Business, Finance; Economics; Urban Studies

Abstract

Extreme risks associated with extraordinary market conditions are catastrophic for all investors. The ongoing financial crisis has perfectly exemplified this point. Surprisingly, there are few studies exploring this issue for REITs. This study aims to close the knowledge gap. We conduct a comprehensive study by utilizing all three methodological categories to examine their forecasting performances of VaR and ES for nine major global REIT markets. Our findings indicate that there is no universally adequate method to model extreme risks across global markets. Also, estimating risks for the stock and REIT markets may require different methods. In addition, we compare the risk profiles between the stock and REIT markets, and find that the extreme risks for REITs are generally higher than those of stock markets. The fluctuations of risk levels are well synchronized between the two types of markets. The current crisis has significantly increased the extreme risk exposure for both REIT and stock investors. In all, our results have significant implications for REIT risk management, portfolio selection, and evaluation.

Journal Title

Journal of Real Estate Finance and Economics

Volume

45

Issue/Number

1

Publication Date

1-1-2012

Document Type

Article

Language

English

First Page

152

Last Page

170

WOS Identifier

WOS:000305403000009

ISSN

0895-5638

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