英文摘要 |
This paper examines the role of liquidity in improving the performance of the Valueat- Risk (VaR) approach on the basis of a sample of Hong Kong real estate investment trusts (REITs). Our empirical results show that the standard VaR method tends to underestimate the frequency of extreme events, resulting in the underestimation of investors’ risk exposure. The liquidity-adjusted VaR method, which incorporates the relative spread into the estimation, exhibits significant improved performance in measuring the risk of REITs. However, the liquidity-adjusted VaR method may overestimate the frequency of extreme events because it relies on historical data that might not reflect the future. Finally, we show that the Cornish-Fisher liquidity-adjusted VaR method proposed by Ernst et al. (2012) accurately measures down-side risk because it incorporates the fat-tail and skewness of return and bid-ask spread into the model. Overall, our results suggest the importance of the liquidity risk for risk management in REITs. |