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[{"key": "dc.contributor.advisor", "value": "Junttila, Juha", "language": "", "element": "contributor", "qualifier": "advisor", "schema": "dc"}, {"key": "dc.contributor.advisor", "value": "Raatikainen, Juhani", "language": "", "element": "contributor", "qualifier": "advisor", "schema": "dc"}, {"key": "dc.contributor.author", "value": "Jokinen, Valtteri", "language": "", "element": "contributor", "qualifier": "author", "schema": "dc"}, {"key": "dc.date.accessioned", "value": "2020-08-12T05:30:31Z", "language": null, "element": "date", "qualifier": "accessioned", "schema": "dc"}, {"key": "dc.date.available", "value": "2020-08-12T05:30:31Z", "language": null, "element": "date", "qualifier": "available", "schema": "dc"}, {"key": "dc.date.issued", "value": "2020", "language": "", "element": "date", "qualifier": "issued", "schema": "dc"}, {"key": "dc.identifier.uri", "value": "https://jyx.jyu.fi/handle/123456789/71386", "language": null, "element": "identifier", "qualifier": "uri", "schema": "dc"}, {"key": "dc.description.abstract", "value": "T\u00e4m\u00e4 maisterin tutkielma keskittyy suorien toimitilakiinteist\u00f6sijoitusten hintariskilt\u00e4 suojautumiseen. Motivaatio tutkimusaiheeseen kumpuaa prime-kiinteist\u00f6jen p\u00e4\u00e4oma-arvojen pitk\u00e4\u00e4n jatkuneesta noususta ja historiallisen alhaisista tuottovaatimustasoista. Aihe on erityisen mielenkiintoinen avointen kiinteist\u00f6rahastojen kannalta, jotka voivat olla rajujen makrotaloudellisten shokkien aikana pakotettuja joko myym\u00e4\u00e4n kiinteist\u00f6sijoituksiaan nopeutetussa aikataulussa tai keskeytt\u00e4m\u00e4\u00e4n lunastukset. Tutkielma vastaa seuraavaan tutkimuskysymykseen: Voivatko Dow Jones U.S. Real Estate Index indeksiin ja VIX indeksiin perustuvat johdannaiset toimia tehokkaina ja hy\u00f6dyllisin\u00e4 suojina suorien toimitilakiinteist\u00f6sijoitusten voimakkaille negatiiviselle arvonmuutoksille? Kysymykseen vastaaminen edellytt\u00e4\u00e4 suoriin kiinteist\u00f6sijoituksiin liittyvien erityispiirteiden ja rajoitteiden ymm\u00e4rt\u00e4mist\u00e4, joista merkitt\u00e4vimm\u00e4t ovat pitk\u00e4 transaktioaika, lyhyeksi myynnin rajoitteet ja korkeat transaktiokustannukset. Suorien kiinteist\u00f6sijoitusten hintariskin lievent\u00e4miseksi sijoittajan tulisi harkita portable alpha strategian kaltaista menetelm\u00e4\u00e4, joka k\u00e4sitt\u00e4\u00e4 sijoituskohteiden aktiivisen manageroinnin ja samanaikaisesti makrotalouden shokeilta suojautumisen. Tutkielman aineisto k\u00e4sitt\u00e4\u00e4 nelj\u00e4nnesvuosittaiset aikasarjat VIX ja DJUSRE indekseist\u00e4 sek\u00e4 viidest\u00e4 suorien kiinteist\u00f6sijoitusten suorituskyky\u00e4 mittaavasta yhdysvaltalaisesta indeksist\u00e4. Tutkimusperiodi sis\u00e4lt\u00e4\u00e4 111 kvartaalia vuoden 1991 nelj\u00e4nnest\u00e4 kvartaalista vuoden 2019 kolmanteen kvartaaliin. Tutkielman empiirisess\u00e4 osiossa estimoidaan dynaamiset ehdolliset volatiliteetit GJR-GARCH-mallilla sek\u00e4 dynaamiset ehdolliset korrelaatiot DCC-mallilla. Estimoiduista volatiliteeteista ja korrelaatioista johdetaan t\u00e4m\u00e4n j\u00e4lkeen dynaamiset optimaaliset suojausasteet. Tulosteni perusteella esit\u00e4n, ett\u00e4 lyhyt positio DJUSRE indeksiin voi toimia hy\u00f6dyllisen\u00e4 ja tehokkaana suojana yhdysvaltalaisien suorien toimitilakiinteist\u00f6jen hintariski\u00e4 vastaan. Tulokset indikoivat, ett\u00e4 DJUSRE indeksill\u00e4 suojautuminen olisi v\u00e4hent\u00e4nyt yhdysvaltalaisten suorien kiinteist\u00f6portfolioiden arvonlaskua globaalin finanssikriisin aikana verrattuna suojaamattomaan positioon. Toisin kuin DJUSRE indeksin kohdalla, havaitsen ett\u00e4 VIX indeksin tehokkuus suorien kiinteist\u00f6sijoitusten suojaukseen on olematon. N\u00e4in ollen VIX indeksi\u00e4 ei voi pit\u00e4\u00e4 hy\u00f6dyllisen\u00e4 eik\u00e4 tehokkaana suojana suorien toimitilakiinteist\u00f6sijoitusten negatiivisia arvonmuutoksia vastaan.", "language": "fi", "element": "description", "qualifier": "abstract", "schema": "dc"}, {"key": "dc.description.abstract", "value": "This master\u2019s thesis focuses on the management of price risk involved in direct commercial real estate investments. The motivation for the topic originates from the long-lasting appreciation in capital values of prime real estate assets and their historic low cap rate levels. The topic is especially interesting for open-ended real estate funds, which may be forced to either fire sale their real estate holdings or suspend redemptions during severe macroeconomic shocks. This master\u2019s thesis answers to the following research question: Can derivatives based on Dow Jones U.S. Real Estate Index, i.e., DJUSRE and derivatives written on implied volatility index, i.e., VIX be effective and useful hedges against severe negative price movements of direct commercial real estate investments in the U.S.? To answer the question, it is crucial to understand the special characteristics and frictions that are involved in direct real estate assets of which the most notable are long transaction time, short sale constraint, and high transaction costs. To mitigate the price risk of a direct real estate investment, an investor should consider an approach similar to portable alpha strategy which consists of active asset management while protecting oneself against macroeconomic shocks. The data used in this thesis includes quarterly time series on VIX and DJUSRE, and five indices that measure the performance of direct real estate investments in the U.S. The sample period comprises 111 quarters from Q4 1991 to Q3 2019. The empirical section of this thesis employs GJR-GARCH model to estimate dynamic conditional volatilities and DCC model to estimate dynamic conditional correlations. Estimated dynamic volatilities and correlations are then utilised to derive dynamic optimal hedge ratios. On the grounds of my findings, I argue that a short position on DJUSRE can serve as a useful and effective hedge against the price risk of U.S. commercial real estate investments. The results indicate that hedging with DJUSRE would have decreased the price deterioration of U.S. direct real estate portfolios during the global financial crisis when compared to an unhedged position. Contrary to DJUSRE, I find that the hedging effectiveness of VIX against direct real estate exposure is trivial. Thus, I conclude that VIX cannot be considered as useful nor effective hedge against adverse price movements of direct commercial real estate investments.", "language": "en", "element": "description", "qualifier": "abstract", "schema": "dc"}, {"key": "dc.description.provenance", "value": "Submitted by Paivi Vuorio (paelvuor@jyu.fi) on 2020-08-12T05:30:31Z\nNo. of bitstreams: 0", "language": "en", "element": "description", "qualifier": "provenance", "schema": "dc"}, {"key": "dc.description.provenance", "value": "Made available in DSpace on 2020-08-12T05:30:31Z (GMT). No. of bitstreams: 0\n Previous issue date: 2020", "language": "en", "element": "description", "qualifier": "provenance", "schema": "dc"}, {"key": "dc.format.extent", "value": "70", "language": "", "element": "format", "qualifier": "extent", "schema": "dc"}, {"key": "dc.format.mimetype", "value": "application/pdf", "language": null, "element": "format", "qualifier": "mimetype", "schema": "dc"}, {"key": "dc.language.iso", "value": "eng", "language": null, "element": "language", "qualifier": "iso", "schema": "dc"}, {"key": "dc.rights", "value": "In Copyright", "language": "en", "element": "rights", "qualifier": null, "schema": "dc"}, {"key": "dc.subject.other", "value": "real estate", "language": "", "element": "subject", "qualifier": "other", "schema": "dc"}, {"key": "dc.subject.other", "value": "dynamic optimal hedge ratio", "language": "", "element": "subject", "qualifier": "other", "schema": "dc"}, {"key": "dc.subject.other", "value": "hedging effectiveness", "language": "", "element": "subject", "qualifier": "other", "schema": "dc"}, {"key": "dc.subject.other", "value": "dynamic conditional correlation", "language": "", "element": "subject", "qualifier": "other", "schema": "dc"}, {"key": "dc.subject.other", "value": "GJR-GARCH", "language": "", "element": "subject", "qualifier": "other", "schema": "dc"}, {"key": "dc.title", "value": "Hedging commercial real estate price risk : evidence from U.S. real estate market", "language": "", "element": "title", "qualifier": null, "schema": "dc"}, {"key": "dc.type", "value": "master thesis", "language": null, "element": "type", "qualifier": null, "schema": "dc"}, {"key": "dc.identifier.urn", "value": "URN:NBN:fi:jyu-202008125526", "language": "", "element": "identifier", "qualifier": "urn", "schema": "dc"}, {"key": "dc.type.ontasot", "value": "Pro gradu -tutkielma", "language": "fi", "element": "type", "qualifier": "ontasot", "schema": "dc"}, {"key": "dc.type.ontasot", "value": "Master\u2019s thesis", "language": "en", "element": "type", "qualifier": "ontasot", "schema": "dc"}, {"key": "dc.contributor.faculty", "value": "Jyv\u00e4skyl\u00e4 University School of Business and Economics", "language": "en", "element": "contributor", "qualifier": "faculty", "schema": "dc"}, {"key": "dc.contributor.faculty", "value": "Jyv\u00e4skyl\u00e4n yliopiston kauppakorkeakoulu", "language": "fi", "element": "contributor", "qualifier": "faculty", "schema": "dc"}, {"key": "dc.contributor.department", "value": "Taloustieteet", "language": "fi", "element": "contributor", "qualifier": "department", "schema": "dc"}, {"key": "dc.contributor.department", "value": "Business and Economics", "language": "en", "element": "contributor", "qualifier": "department", "schema": "dc"}, {"key": "dc.contributor.organization", "value": "Jyv\u00e4skyl\u00e4n yliopisto", "language": "fi", "element": "contributor", "qualifier": "organization", "schema": "dc"}, {"key": "dc.contributor.organization", "value": "University of Jyv\u00e4skyl\u00e4", "language": "en", "element": "contributor", "qualifier": "organization", "schema": "dc"}, {"key": "dc.subject.discipline", "value": "Taloustiede", "language": "fi", "element": "subject", "qualifier": "discipline", "schema": "dc"}, {"key": "dc.subject.discipline", "value": "Economics", "language": "en", "element": "subject", "qualifier": "discipline", "schema": "dc"}, {"key": "yvv.contractresearch.funding", "value": "0", "language": "", "element": "contractresearch", "qualifier": "funding", "schema": "yvv"}, {"key": "dc.type.coar", "value": "http://purl.org/coar/resource_type/c_bdcc", "language": null, "element": "type", "qualifier": "coar", "schema": "dc"}, {"key": "dc.rights.accesslevel", "value": "openAccess", "language": null, "element": "rights", "qualifier": "accesslevel", "schema": "dc"}, {"key": "dc.type.publication", "value": "masterThesis", "language": null, "element": "type", "qualifier": "publication", "schema": "dc"}, {"key": "dc.subject.oppiainekoodi", "value": "2041", "language": "", "element": "subject", "qualifier": "oppiainekoodi", "schema": "dc"}, {"key": "dc.subject.yso", "value": "kiinteist\u00f6sijoittaminen", "language": null, "element": "subject", "qualifier": "yso", "schema": "dc"}, {"key": "dc.subject.yso", "value": "volatiliteetti", "language": null, "element": "subject", "qualifier": "yso", "schema": "dc"}, {"key": "dc.subject.yso", "value": "riskienhallinta", "language": null, "element": "subject", "qualifier": "yso", "schema": "dc"}, {"key": "dc.subject.yso", "value": "real estate investment", "language": null, "element": "subject", "qualifier": "yso", "schema": "dc"}, {"key": "dc.subject.yso", "value": "risk management", "language": null, "element": "subject", "qualifier": "yso", "schema": "dc"}, {"key": "dc.format.content", "value": "fulltext", "language": null, "element": "format", "qualifier": "content", "schema": "dc"}, {"key": "dc.rights.url", "value": 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