{"title":"美国房地产投资信托基金风险溢出的来源:金融特征和区域邻近性","authors":"Zeno Adams, Roland Füss, Felix Schindler","doi":"10.1111/1540-6229.12060","DOIUrl":null,"url":null,"abstract":"type=\"main\"> In this article, we estimate the risk spillovers among 74 U.S. Real Estate Investment Trusts (REITs) using the state-dependent sensitivity value-at-risk approach. This methodology allows for the quantification of the spillover size as a function of a company's financial condition. We show that the size of risk spillovers is more than twice as large when REITs are in financial distress and find evidence for the impact of geographical proximity. Our results provide new insights concerning the relevance of geographical diversification for REITs and have important implications for the investment and risk management decisions of real estate investors, mortgage lenders, home suppliers and policy makers.","PeriodicalId":259209,"journal":{"name":"Wiley-Blackwell: Real Estate Economics","volume":"85 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2013-02-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"33","resultStr":"{\"title\":\"The Sources of Risk Spillovers Among U.S. REITs: Financial Characteristics and Regional Proximity\",\"authors\":\"Zeno Adams, Roland Füss, Felix Schindler\",\"doi\":\"10.1111/1540-6229.12060\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"type=\\\"main\\\"> In this article, we estimate the risk spillovers among 74 U.S. Real Estate Investment Trusts (REITs) using the state-dependent sensitivity value-at-risk approach. This methodology allows for the quantification of the spillover size as a function of a company's financial condition. We show that the size of risk spillovers is more than twice as large when REITs are in financial distress and find evidence for the impact of geographical proximity. Our results provide new insights concerning the relevance of geographical diversification for REITs and have important implications for the investment and risk management decisions of real estate investors, mortgage lenders, home suppliers and policy makers.\",\"PeriodicalId\":259209,\"journal\":{\"name\":\"Wiley-Blackwell: Real Estate Economics\",\"volume\":\"85 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2013-02-03\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"33\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Wiley-Blackwell: Real Estate Economics\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1111/1540-6229.12060\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Wiley-Blackwell: Real Estate Economics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1111/1540-6229.12060","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
The Sources of Risk Spillovers Among U.S. REITs: Financial Characteristics and Regional Proximity
type="main"> In this article, we estimate the risk spillovers among 74 U.S. Real Estate Investment Trusts (REITs) using the state-dependent sensitivity value-at-risk approach. This methodology allows for the quantification of the spillover size as a function of a company's financial condition. We show that the size of risk spillovers is more than twice as large when REITs are in financial distress and find evidence for the impact of geographical proximity. Our results provide new insights concerning the relevance of geographical diversification for REITs and have important implications for the investment and risk management decisions of real estate investors, mortgage lenders, home suppliers and policy makers.
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