Bewertung von Handlungsalternativen Bei Unvollkommenem Kapitalmarkt

Schirmeister, Raimund

doi:10.1007/978-3-642-75639-9_26

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“…Consequently, the idea of financial planning is based on future values. Following the formal concept of Schirmeister (1990), we modify the basic concept in order to capture all elements necessary for evaluating CEREF asset values (FAV t ) in each period ( t ) of the investment: where FAV t is the fund asset value, FR t the fund revenues (affecting), FE t the fund expenses (affecting), normalDI t normalDC the (debt) interest expenses, CI t the (credit) interest revenues, b the borrowing interest rate, c the credit interest rate, C t the capital raise (equity (EC) or debt (DC)), R t the capital repayment (equity (EC) or debt (DC)), B t the balance of equity (EC) or debt (DC), T t the tax payments/refunds partners, Y t the distributions to partners, I t the income before taxes, D t the depreciation, IE t the (further) income-related expenses, L t the liquidity reserve, a the tax rate, TB t the taxable base.…”

Section: Fund Asset Values (Fav) As a Suitable Methodology For Performance Measurementmentioning

confidence: 99%

“…Furthermore, it is possible to extend this transparent fund asset appraisal by risk and return measures. Combining the concept of Schirmeister (1990) and Nadler (2001) with the introduced fund asset values for CEREFs, we can derive the return on initial capital ( r ): …”

Section: Fund Asset Values (Fav) As a Suitable Methodology For Performance Measurementmentioning

confidence: 99%

“…However, as revealed in Section 4, even with the CEREF-sector at its peak in 2008, most of the issuers published no full cash-flow-data in their performance reports. Thus, we have to adapt our variance analysis by linking the existent liquidity information of issuers to the mathematical proof of Schirmeister (1990, pp. 40-42) in order to calculate the target and actual FAV t for every of the 468 CEREFs at the end of 2008 by applying Formula (3): …”

Section: Analysing Performance Variances Of Cerefs With Fund Asset Valuesmentioning

confidence: 99%

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Performance vs prospectus = transparency in German closed-ended real estate funds?

Nadler

2018

JPIF

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Purpose The purpose of this paper is to close the transparency gap by comparing ex ante and ex post performance disclosure, thus providing important conclusions regarding the transparency of this important German market segment. Design/methodology/approach Closed-ended real estate funds (CEREFs) are one of the biggest segments of unlisted private equity funds in Germany. CEREFs have a central “profitability promise” that is based on ex ante forecasts given in the prospectus. Typically, equity is tied to these investments for up to 20-30 years, leaving investors highly insecure whether their expectations will be fulfilled and fund managers actually achieve prospected performances ex post. Findings The performance variance analysis of all German CEREFs outstanding during the global financial crisis reveals that prospect-performance disclosures as well as prospect-performance variances cause substantial problems in Germany due to overestimation biases of many fund managers. Research limitations/implications As typical for the recent scholarly debate, also the past disclosure practice in Germany prohibits a long-term performance analysis, unless researchers apply instruments of modern investment analysis like comprehensive financial plans (“Visualisation of Financial Implications)”. Practical implications The transparency developments in CEREF-reporting of the last decade deliver precise recommendations regarding the internal and external performance variance analysis, risk-profiles and stress tests for the future fund management. Social implications The introduced methodology would increase transparency in the segment of CEREF and, thus, improve investor protection. Since private households in Germany mainly acquire these funds, this is a contribution to sustainability in private asset management. Originality/value The paper develops a new methodological framework for performance measurement of unlisted funds. It then assesses for the first time the impact of transparency and trust on fund performances by applying a performance variance analysis.

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Section: Fund Asset Values (Fav) As a Suitable Methodology For Performance Measurementmentioning

confidence: 99%

Section: Fund Asset Values (Fav) As a Suitable Methodology For Performance Measurementmentioning

confidence: 99%

Section: Analysing Performance Variances Of Cerefs With Fund Asset Valuesmentioning

confidence: 99%

See 1 more Smart Citation

Performance vs prospectus = transparency in German closed-ended real estate funds?

Nadler

2018

JPIF

View full text Add to dashboard Cite

show abstract

Bewertung von Handlungsalternativen Bei Unvollkommenem Kapitalmarkt

Cited by 1 publication

References 0 publications

Performance vs prospectus = transparency in German closed-ended real estate funds?

Performance vs prospectus = transparency in German closed-ended real estate funds?

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