This study employs five methods to calculate the VaR of twelve REITs portfolios and evaluates the accuracy of these methods. Firstly, we find that the VaR varies among individual portfolios. The Hotel REITs has consistently the largest VaR. The low‐leveraging portfolio tends to have the largest VaR measured by the parametric methods, while the high leveraging portfolio has the largest VaR calculated by the non‐parametric methods. Secondly, each method performs differently at different confidence levels, and no method dominates the others. At the 95% confidence level, the EWMA method performs relatively well. The EQWMA and the two non‐parametric methods perform equivalently and slightly overestimate VaRs. The EQWMAT method ranks the bottom and significantly overestimates VaRs for all portfolios. At the 99% confidence level, the EQWMA method performs the best. The EQWMAT and the two non‐parametric methods perform equivalently and may overestimate VaR for all portfolios. The EWMA method turns out to be the worst and tends to underestimate the VaR. These findings may provide more insights for institutional real estate investors.

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Using unique Taiwanese initial public offering (IPO) features, we examine whether the underwriters control the issue method choice (the expected revenue collection hypothesis) or whether the issuers make the choice in the best interests of the pre‐IPO shareholders (the expected net wealth gain hypothesis). We find that the choice of issue method is consistent with maximizing pre‐IPO shareholders’ expected net wealth gains. The findings also suggest that most IPO issuers do not choose auctions. Though we offer insights into why IPO auctions have been declining, we note that this evidence cannot completely explain the total disappearance of auctions in many countries.

In this research, we extend Luenberger's (J Econ Dyn Contr 26(10), [1613][1614][1615][1616][1617][1618][1619][1620][1621][1622][1623][1624][1625][1626][1627][1628] 2002) results on zero-level pricing method to the market with transaction cost. We show that the zero-level price exists in this market. Both the zero-level pricing method and the no-arbitrage pricing method produce price intervals, but the zero-level price interval is smaller than the no-arbitrage price interval. Although the zero-level price interval in general depends on the utility function and initial wealth, we show the zero-level price interval is identical for all individuals with different levels of initial wealth and the HARA utility functions in which one parameter is fixed.

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