Hedging strategies in real estate investment trusts : exploring futures and options contracts
Korteniemi, Viljami (2024-12-13)
V. Korteniemi
13.12.2024
© 2024 Viljami Korteniemi. Ellei toisin mainita, uudelleenkäyttö on sallittu Creative Commons Attribution 4.0 International (CC-BY 4.0) -lisenssillä (https://creativecommons.org/licenses/by/4.0/). Uudelleenkäyttö on sallittua edellyttäen, että lähde mainitaan asianmukaisesti ja mahdolliset muutokset merkitään. Sellaisten osien käyttö tai jäljentäminen, jotka eivät ole tekijän tai tekijöiden omaisuutta, saattaa edellyttää lupaa suoraan asianomaisilta oikeudenhaltijoilta.
Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi:oulu-202412137271
https://urn.fi/URN:NBN:fi:oulu-202412137271
Tiivistelmä
Thesis studies the idea of whether real estate investment trusts, trusts whose portfolio value consists of apartments, could hedge their exposure with derivatives.
This thesis uses a VAR model to see whether a real estate investment trust could hedge their portfolio with selected financial derivative contracts. The contracts have been selected with an idea that they should in theory increase in value when phenomena that affects housing prices decreasingly (such as interest rates) increase. The analysis uses a VAR model to see whether they have negative correlation, and uses impulse response analysis to see whether the responses to these shocks would distinct that they are usable hedging instruments. This thesis also studies the correlation between the variables.
This thesis uses a VAR model to see whether a real estate investment trust could hedge their portfolio with selected financial derivative contracts. The contracts have been selected with an idea that they should in theory increase in value when phenomena that affects housing prices decreasingly (such as interest rates) increase. The analysis uses a VAR model to see whether they have negative correlation, and uses impulse response analysis to see whether the responses to these shocks would distinct that they are usable hedging instruments. This thesis also studies the correlation between the variables.
Kokoelmat
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Ellei muuten mainita, aineiston lisenssi on https://creativecommons.org/licenses/by/4.0/