The Discount to NAV of distressed German open-ended real estate funds

Sebastian Schnejdar, Michael Heinrich, René-Ojas Woltering and Steffen Sebastian

ERES from European Real Estate Society (ERES)

Abstract: The German open-ended real estate fund industry was strongly hit by massive outflows in the course of the global financial crisis. In total, 18 public and institutional real estate funds had to stop the redemption of shares and were ultimately forced to liquidate their portfolios. Investors of these funds either have to await the stepwise liquidation of the funds` assets, which can take up to several years, or they can opt to sell their shares on the secondary market, often at a substantial discount to the Net Asset Value (NAV Spread). This paper attempts to explain the NAV Spread of distressed German public open-ended real estate funds. The unique monthly dataset contains fund specifics and macroeconomic indicators for the entire relevant period. Fundamentals like the leverage ratio and the liquidity ratio as well as industry-wide spillover effects from fund closures affect the NAV Spread. Moreover, we detect a considerably influence of macroeconomic uncertainty explaining the discount to NAV.

Keywords: bank run risk; Liquidity Transformation; NAV Spread; Open-ended real estate funds; Uncertainty (search for similar items in EconPapers)
JEL-codes: R3 (search for similar items in EconPapers)
Date: 2017-07-01
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://eres.architexturez.net/doc/oai-eres-id-eres2017-160 (text/html)
https://eres.architexturez.net/system/files/P_20170114175033_1501.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arz:wpaper:eres2017_160

Access Statistics for this paper

More papers in ERES from European Real Estate Society (ERES) Contact information at EDIRC.
Bibliographic data for series maintained by Architexturez Imprints ().