On the hedging benefits of REITs: The role of risk aversion and market states
Yükleniyor...
Dosyalar
Tarih
2021-06
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Oviedo University Press
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
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 risk aversion can predict transitions to the high volatility regime in REIT markets when these markets are relatively calm. Accordingly, a hedge on/hedge off strategy based on the level of risk aversion with positions in REITs offer significant risk reduction for passive investors with the greatest benefits observed for the U. S. followed by the U.K. Our findings highlight the role of time-varying risk aversion as a predictor of REIT market volatility and the value of REIT investments as a hedge against stock market fluctuations.
Açıklama
Anahtar Kelimeler
Real estate investment trusts, Risk aversion, Markov switching, Hedging, Stock, Returns
Kaynak
Economics and business letters
WoS Q Değeri
N/A
Scopus Q Değeri
Q2
Cilt
10
Sayı
2
Künye
Demirer, R., Yüksel, A. & Yüksel, S. A. (2021). On the hedging benefits of REITs: The role of risk aversion and market states. Economics And Business Letters, 10(2), 126-132. doi:10.17811/ebl.10.2.2021.126-132
