Digital library of construction informatics and information technology in civil engineering and construction
Digital library
Paper: eres2013_163
| Paper title: | Performance of Equity REITs: Does a Skew Factor Matter? |
| Authors: | Gan, Quan |
| 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. |
| Type: | paper session |
| Year of publication: | 2013 |
| Keywords: | Skewness, Performance, REIT, Factor model, Asset allocation |
| Series: | ERES:conference |
| Download paper: | /pdfs/eres2013_163.content.03027.pdf |
| Citation: | Gan, Quan (2013). Performance of Equity REITs: Does a Skew Factor Matter?. 20th Annual European Real Estate Society Conference in Vienna, Austria, http://itc.scix.net/paper/eres2013_163 |
hosted by University of Ljubljana
includes:
W78
includes:
W78
inspired by SciX, ported by Robert Klinc [2019]