流动性对不动产投资信托风险值绩效之影响.pdfVIP

118 JOURNAL OF HOUSING STUDIES, VOLUME 25 NO. 1, JUNE 2016 Effect of Liquidity Risk on the Value-at-Risk Performance of Real Estate Investment Trusts *** Hsiang-Hui Chu*, Pei-Chi Tsou** 摘　要 Bangia et al.(2001) Ernst et al.(2012) 關鍵詞：流動性風險、非常態分配、風險值、不動產投資信託 ABSTRACT 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