Do Alternative Real Estate Investment Vehicles Add Value to REITs? Evidence from German Open-ended Property Funds

Schweizer, Denis; Haß, Lars Helge; Johanning, Lutz; Rudolph, Bernd

doi:10.1007/s11146-011-9342-z

“…Particularly, Schweizer et al (2013) presents open-ended property funds (OPFs) which offer apparently perfect daily liquidity, but failed to do in market conditions when liquidity is most required (redemptions are suspended if a threshold of requests is passed). They find that these vehicles offer a liquidity premium (measured as discount to NAV, i.e.…”

Section: Literature Reviewmentioning

confidence: 99%

Liquidity Pricing of Illiquid Assets

Marcato¹

2018

25th Annual European Real Estate Society Conference

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So far the main body of the asset pricing literature has computed liquidity risk premia for either markets or single assets. The vast majority of these studies have been focused on fairly liquid assets, but recently a greater attempt to price such an important component of asset pricing factors in markets with high illiquidity (especially in real estate) has also started to take place. The present paper brings these recent studies together, and estimates the liquidity premium of an illiquid asset (real estate) looking at three main aspects-time on market, liquidation bias and market liquidity-and using three main empirical models and several liquidity measures suggested in the literature. We find strong evidence of a high premium of around 3.0-3.5% that varies across sectors and periods. This estimation is robust to different measures of liquidity and model specifications.

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“…A multi asset framework is employed to understand how changes in return characteristics influence investor decisions. This can be considered as a revisit to the studies of Haß et al (2012) and Schweizer et al (2013) GOEREF portfolio analyses are done both on an aggregate basis as well as group-wise. In general, two sets of portfolios can be considered-portfolios that comprise all the funds that retail/private investors can invest in (that is, retail ex co-op and co-op funds) and portfolios that comprise institutional and retail ex co-op funds.…”

Section: Data and Frameworkmentioning

confidence: 99%

“…The GOEREF liquidity crisis has attracted considerable research attention in recent years, including studies by Fecht and Wedow (2010), Schweizer et al (2013), and Stein (2013) that analysed the developments of the GOEREF industry since the onset of the crisis. Nevertheless, the inherent dangers of GOEREFs have already been discussed by Sebastian and Tyrell (2006) and Bannier et al (2008); the former provided a theoretical framework for the GOEREF fund model, while the latter discussed issues arising from the funds' structures and the problem of liquidity transformation.…”

Section: Introductionmentioning

confidence: 99%

German Real Estate Funds Changes in Return Distributions and Portfolio Favourability

Stein

¹

2013

SSRN Journal

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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. The working papers published in the Series constitute work in progress circulated to stimulate discussion and critical comments. Views expressed represent exclusively the authors' own opinions and do not necessarily refl ect those of the editors. Terms of use: Documents in Ruhr Economic Papers #454

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“…The GOEREF liquidity crisis has attracted considerable research attention in recent years, including studies by Fecht and Wedow (2010), Schweizer et al (2013), and Stein (2013) that analysed the developments of the GOEREF industry since the onset of the crisis. Nevertheless, the inherent dangers of GOEREFs have already been discussed by Sebastian and Tyrell (2006) and Bannier et al (2008); the former provided a theoretical framework for the GOEREF fund model, while the latter discussed issues arising from the funds' structures and the problem of liquidity transformation.…”

Section: Introductionmentioning

confidence: 99%

German real estate funds: changes in return distributions and portfolio favourability

Stein

¹

2014

Journal of European Real Estate Research

2

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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. The working papers published in the Series constitute work in progress circulated to stimulate discussion and critical comments. Views expressed represent exclusively the authors' own opinions and do not necessarily refl ect those of the editors. Terms of use: Documents in Ruhr Economic Papers #454

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Do Alternative Real Estate Investment Vehicles Add Value to REITs? Evidence from German Open-ended Property Funds

Cited by 20 publications

References 21 publications

Liquidity Pricing of Illiquid Assets

Liquidity Pricing of Illiquid Assets

German Real Estate Funds Changes in Return Distributions and Portfolio Favourability

German real estate funds: changes in return distributions and portfolio favourability

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