Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in AbstractDue to the recent downturn in international equity markets, the interest in real-estate investments has soared. However, the well-known problems of direct real-estate investments complicate becoming well-diversified with this investment class. Indirect real-estate investments can provide a solution to this problem. Shares of real-estate investment companies are very popular in this context. The German market for securitised real-estate investments additionally provides open-ended real-estate funds (so called " Offene Immobilienfonds"). An open-end real-estate fund is a pool of money from many investors, with which a special investment company, acting as a trustee, invests it in real estate. Thus, the individual investors are directly involved in the real-estate market.This study is based on monthly and yearly return data from January 1975 to December 2002. It seeks to identify the short and long-term financial characteristics of investments into open-ended real-estate funds, and to compare them with those of other major asset classes like bonds, equities, and money market investments. In this sense, the considerations comprise extensive univariate and multivariate analyses of real-estate fund returns. Furthermore, the long-term risk/return profile of real-estate fund investments relative to other investment opportunities is investigated. Additionally, this paper provides a brief overview of the institutional design and role of German open-end real-estate mutual funds.Empirical evidence suggests that the financial characteristics of open-ended real-estate funds clearly distinguish them from other (financial) asset classes. These characteristics are in many respects similar to those known from dir ect real-estate investments. Accordingly, the German open-end real-estate funds qualify themselves more for medium and long-term investment horizons, than for short holding periods. All in all, this indirect real-estate investment vehicle is characterised by moderate and relatively stable returns over time.

The present paper seeks to study the possible diversification potential by the integration of indirect real estate investments in international portfolios. To this end, monthly index-return time-series in the time-period from January 1985 till December 1998 from real estate investment companies as well as common stocks and bonds in Germany, France, Switzerland, Great Britain and the USA were used. We utilize, due to the critical normal distribution assumption, a mean/lower-partial-moment framework. In order to take into account the influence of the currency risk for international investments the analyses have been undertaken both with as well as without hedging the currency risk. We take the viewpoint of a German as well as that of a US-investor to gain insight into the dependency of the diversification potential on the reference currency of the investor.

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In contrast to the United States and the United Kingdom, little empirical work exists about the distributional characteristics of appraisalbased real estate returns outside these countries. The purpose of this study is to fill this gap by focusing on Germany. In line with other studies, this paper offers an extensive investigation into the distribution of German real estate returns and compares them with and U.S. and U.K. data in the same period. Furthermore, the comovements with bonds and stocks are also examined. In the core, the distributional characteristics for German real estate are comparable to that for the U.S. and U.K.