REIT Performance and Dynamic Portfolio Considerations
Real Estate Investment Trusts (REITs) play an important role in portfolio theory.Conventional portfolio theories assume the constant correlation coefficient,but in reality this correlation is dynamic and conditional.Portfolios could be improved by making timely adjustments to reduce losses in the presence of systemic market risk.This empirical analysis used descriptive statistics,Kernel density estimation and two Sharpe Ratios with different benchmarks to analyze the assets considered.The Sharpe Ratio with a risk-free interest rate indicates that Equity REITs are preferable to stock and direct real estate investments,as do the other statistics.We then employed a DCC-MGARCH model to estimate dynamic volatility and correlations.During the financial crisis,the conditional volatility and correlations rise,and hence portfolio risk increases.In addition,the differential model was refined using the Sequential Elimination of Regressors approach to explore the economic determinants of volatility and correlations.This work demonstrates that Equity REITs,and not all types of REITs,are competitive in the long term.The profit distribution exhibits negative skewness and asymmetry.We find that portfolio performance can be improved by adding Equity REITs,and systemic risk can be reduced by accounting for economic conditions.
REIT dynamic portfolio sharpe ratio DCC-MGARCH differential model
Keyu Feng Yan Yan Quanbao Li
School of Economics and Management,Beijing Jiaotong University,Beijing,China School of Management,Graduate University of Chinese Academy of Sciences,Beijing,China School of Economics and Management,Beihang University,Beijing,China
国际会议
2015 Information Technology and Mechatronics Engineering Conference (ITOEC 2015)(2015信息技术与机电一体化国际会议)
重庆
英文
188-195
2015-03-28（万方平台首次上网日期，不代表论文的发表时间）