Forecasting the Value-at-Risk of REITs using realized volatility jump models

This paper examines jump risk in the time series of Real Estate Investment Trusts (REITs). Using high-frequency index-level and firm-level data, the econometric model in this paper integrates jumps into the volatility forecast by estimating jump augmented Heterogeneous Autoregressive (HAR) models of realized volatility. To assess the information value of these specifications, their forecasting accuracies for generating one-step ahead daily Value-at-Risk are also compared with other VaR specifications, including those generated from historical returns, bootstrap technique, and severity loss distribution.     

国外商业地产投资风险研究综述

近年来国外学术界对于商业地产相关理论与实证研究越发广泛。本文以商业地产的内涵及相关理论为基础,梳理了近三十年国外商业地产风险问题的文献研究成果,讨论了商业地产研究范围及主要研究内容,认为未来研究可在考虑我国独特的经济和金融制度背景下,通过行业数据挖掘探讨特殊类型的商业地产系统风险与非系统风险动态影响与耦合关系,以为商业地产风险性问题的理论研究和实践活动提供借鉴和参考。     

The Performance of REIT-owned Properties and the Impact of REIT Market Power

Using a unique, detailed panel dataset of lodging properties, this paper tests whether properties owned by real estate investment trusts (REITs) perform differently than other properties and whether the concentration of real estate ownership brought about by REITs has increased market power. Our results demonstrate that REIT-owned properties, which are primarily mid-scale and high-end hotels, did not perform significantly better, on average, than other mid-scale or high-end hotels in the same geographic area. However, because of the superior overall performance of mid-scale and high-end hotels, REIT properties as a whole did perform better, on average, than non-REIT properties. From these results we conclude that the superior performance of REIT properties was due to the fact that REITs tended to acquire properties in market segments that performed well; REIT ownership in itself does not appear to have increased performance. Our results also suggest that the superior performance of the market segments in which REITs have a significant presence is not attributable to the market power of the REITs.     

我国房地产信托投资基金(REITs)发展现状、困境及建议浅析

房地产投资基金(REITs)已经成为发达国家和地区房地产市场中非常重要的融资渠道。近年来我国在REITs的发行上做了许多尝试和研究,但真正意义的REITs没有出现。本文分析了国内REITs的最新实践,通过比较分析REITs的基本特征,从基础资产的质量、制度环境、专业人才建设等方面剖析了国内发行REITs存在的现实困境,提出了加快法律法规建设、提高基础资产质量以及专业人才培养方面的政策建议。     

我国发展房地产投资信托基金的可行性分析

发展REITs需要一系列条件的支持:完善的社会信用体系,清晰的产权关系,完善宽松的法律环境,理性成熟的投资供求主体。从我国现状来看,我们在法律和政策、供求主体、经济和产业等方面具备了一定的可行性基础。如果将可行变为现实,我们还需要在发展REITs的选择对象上、法律制度上、完善机构和人才培养上以及风险控制上作出努力。     

Director Compensation and CEO Bargaining Power in REITs

We analyze director compensation for Real Estate Investment Trusts (REITs) and investigate the relations between director compensation and other measures of the board independence and board monitoring. Using 136 REITs in 2001, we find that REITs that pay higher equity-based compensation to their board members are associated with higher financial performance. Our data indicate that board equity-based compensation is positively related to the existence of an independent nomination committee, however, it has no significant relationship with board size, proportion of outside directors, CEO duality and CEO tenure and ownership.

我国房地产信托向REITs发展的研究

现阶段,我国宏观政策的调控使得房地产信托已不能满足房地产开发商融资的需要。REITs与国内的房地产信托具有相似性,有较强的优势,受到国内金融界的重视和认可。现在,REITs在我国有了一定的发展,本文对如何使国内的房地产信托更快的走向REITs提出了相关建议。     

REITs:后金融危机时期对冲通胀的有效金融工具探讨

REITs(房地产投资信托基金),在后金融危机时期通胀升温的情况下,为投资者和房地产商提供了良好的对冲通胀和投资风险的金融工具。本文用最新的美国NAREITS数据分析了REITS具有对冲通胀的特性和原因,并提出了多项制度设计。     

谈REITs立法困境与建议

文章探讨REITs立法问题。