流動性對不動產投資信託風險值績效之影響Effect of Liquidity Risk on the Value-at-Risk Performance of Real Estate Investment Trusts

本文探討納入流動性因子是否能提高評估資產下方風險的能力。以香港不動產投資信託為樣本之實證結果顯示，只考慮資產價格將低估風險。採用Bangia et al.(2001)考量相對價差經驗分配之風險值模型，雖可改善傳統風險值模型低估風險的情形，但可能造成風險值高估的 現象，顯示相對價差的歷史走勢不一定適用於風險評估期間。使用Ernst et al.(2012)納入報酬率與相對價差之偏態與峰態的風險值模型，能準確地評估資產之下方風險。綜合以上，流動性 在評估不動產投資信託風險上扮演重要的角色，選擇具有描述風險因子分配彈性的模型評估 不動產投資信託風險的績效較佳。
關鍵詞：流動性風險、非常態分配、風險值、不動產投資信託

This paper examines the role of liquidity in improving the performance of the Value- at-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.
Key words: liquidity risk, non-normality, Value-at-Risk, REITs