论REITs的套期保值收益：风险规避与市场状态的作用

IF 0.9 Q3 ECONOMICS

Economics and Business Letters Pub Date : 2021-05-31 DOI:10.17811/EBL.10.2.2021.126-132

Rıza Demirer, Asli Yuksel, Aydin Yuksel

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引用次数: 1

摘要

我们提出了一种动态、前瞻性的对冲策略，以风险规避水平为条件，通过REITs头寸管理股市风险。我们的研究结果表明，房地产投资信托基金不仅能显著降低被动投资组合的风险，而且能大幅提高风险调整后的回报，澳大利亚、加拿大和美国的收益最大。总体而言，我们的研究表明，时变风险厌恶可用于（i）通过房地产投资基金的头寸建立有效的股市风险对冲，以及（ii）改善被动投资组合的风险回报状况。

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On the hedging benefits of REITs: The role of risk aversion and market states

We propose a dynamic, forward-looking hedging strategy to manage stock market risks via positions in REITs, conditional on the level of risk aversion. Our findings show that REITs do not only offer significant risk reduction for passive portfolios, but also offer much improved risk-adjusted returns with the greatest benefits observed for Australia, Canada and the U.S. Overall, our findings suggest that time-varying risk aversion can be utilized to (i) establish effective hedges against stock market risks via positions in REITS, and (ii) improve the risk-return profile of passive portfolios.

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来源期刊

Economics and Business Letters ECONOMICS-

CiteScore

1.80

自引率

11.10%

发文量

期刊介绍： Economics and Business Letters is an open access journal that publishes both theoretical and empirical quality original papers in all economics and business fields. In addition, relevant discussions on current policy issues will be considered for the Policy Watch section. As general strategy of EBL, the journal will launch calls for papers for special issues on topics of interest, generally with invited guest editors. The maximum length of the letters is limited to 2,500 words.