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

Basit Öğe Kaydı
dc.authorid0000-0002-1840-8085
dc.authorid0000-0001-9428-0426
dc.contributor.authorDemirer, Rızaen_US
dc.contributor.authorYüksel, Aslıen_US
dc.contributor.authorYüksel, Sadettin Aydınen_US
dc.date.accessioned2021-06-14T11:33:47Z
dc.date.available2021-06-14T11:33:47Z
dc.date.issued2021-06
dc.departmentIşık Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, İşletme Bölümüen_US
dc.departmentIşık University, Faculty of Economics and Administrative Sciences, Department of Managementen_US
dc.description.abstractWe 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.en_US
dc.description.versionPublisher's Versionen_US
dc.identifier.citationDemirer, 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.10.2.2021.126-132en_US
dc.identifier.doi10.17811/ebl.10.2.2021.126-132
dc.identifier.endpage132
dc.identifier.issn2254-4380
dc.identifier.issue2
dc.identifier.scopus2-s2.0-85108203447
dc.identifier.scopusqualityQ2
dc.identifier.startpage126
dc.identifier.urihttps://hdl.handle.net/11729/3153
dc.identifier.urihttp://dx.doi.org/10.17811/ebl.10.2.2021.126-132
dc.identifier.volume10
dc.identifier.wosWOS:000657545400005
dc.identifier.wosqualityN/A
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.indekslendigikaynakEmerging Sources Citation Index (ESCI)en_US
dc.institutionauthorYüksel, Sadettin Aydınen_US
dc.institutionauthorid0000-0001-9428-0426
dc.language.isoenen_US
dc.peerreviewedYesen_US
dc.publicationstatusPublisheden_US
dc.publisherOviedo University Pressen_US
dc.relation.ispartofEconomics and business lettersen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectReal estate investment trustsen_US
dc.subjectRisk aversionen_US
dc.subjectMarkov switchingen_US
dc.subjectHedgingen_US
dc.subjectStocken_US
dc.subjectReturnsen_US
dc.titleOn the hedging benefits of REITs: The role of risk aversion and market statesen_US
dc.typeArticleen_US
dspace.entity.typePublication

Dosyalar

Orijinal paket
Listeleniyor 1 - 1 / 1
Küçük Resim
İsim:
3153.pdf
Boyut:
321.41 KB
Biçim:
Adobe Portable Document Format
Açıklama:
Publisher's Version
İndir
Lisans paketi
Listeleniyor 1 - 1 / 1
Küçük Resim Yok
İsim:
license.txt
Boyut:
1.44 KB
Biçim:
Item-specific license agreed upon to submission
Açıklama:
İndir

Koleksiyon

Makale Koleksiyonu | İşletme Bölümü
Scopus İndeksli Yayınlar Koleksiyonu
WoS İndeksli Yayınlar Koleksiyonu