TAIL RISK IN THE US REITS MARKET

Abstract

This thesis comprehensively explores tail risk and its various implications in the US REITs market throughout four empirical chapters. The first empirical chapter investigates the source of tail risk by examining the impacts of local market uncertainty on tail risk. The second empirical chapter examines tail risk spillovers and comovements. The third empirical chapter investigates the tail risk premium of REITs by proposing a novel tail risk dependence measure that captures the tail risk exposure of individual stocks to multiple industries. Finally, the last chapter explores how to mitigate tail risk of REITs by finding tail risk diversification opportunities. This chapter introduces a novel portfolio strategy by employing other assets that have shown higher performance conditional on extreme losses of REITs. Overall, this thesis provides several practical implications to REITs investors in terms of the extreme risk and portfolio management.