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Paper eres2013_163:
Performance of Equity REITs: Does a Skew Factor Matter?

id eres2013_163
authors Gan, Quan
year 2013
title Performance of Equity REITs: Does a Skew Factor Matter?
source 20th Annual European Real Estate Society Conference in Vienna, Austria
summary The paper develops a Bayesian skew factor model to measure the return-risk performance of publicly traded equity real estate investment trusts (REITs). We show that the skew factor contributes in all REITs' returns. The skew factor significantly impacts the performance measurement of REITs portfolio and this factor is different from the market return factors (REITs index and stock market index) and Fama-French three factors. We compare the skewness-aware asset allocations (Low, Pachamanova and Sim 2012) using typical non-parametric method and our skew factor model. We find that the skew factor model provides better out-of-sample performance comparing to its non-parametric counterpart.
keywords Skewness, Performance, REIT, Factor model, Asset allocation
series ERES:conference
type paper session
email quan.gan@sydney.edu.au
more http://library.eres.org/cgi-bin/rsa98.pl?conf=ERES2013&type=session&theme=J&slot=6703
content file.pdf (394,614 bytes)
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ratings
session J-9: Performance and Risk Management
last changed 2014/10/21 21:51
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