German Open Ended Real Estate Fund Performance – The Impact of Liquidity

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

“…To understand the similarities and differences among GOEREFs' return characteristics, Stein's (2013) methodology of relevant price P rel t and relevant return P rel t is used, where the relevant price at time t is a function of the net asset value NAV t and the secondary market price P sec t , and S t ¼ 1 for days where redemptions of shares are suspended, and S t ¼ 0 otherwise:…”

“…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. Haß et al (2012), Schweizer et al (2013) and Stein (2013) empirically consider secondary market prices. The former two studies use NAVs for index building and secondary market prices for the calculation of average discounts in event windows, whereas the latter employs secondary market prices for index calculations.…”

“…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.…”

German Real Estate Funds Changes in Return Distributions and Portfolio Favourability

“…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.…”

“…This is the first study that directly addresses how the return-to-risk profile and portfolio benefits of GOEREFs has changed in recent years based on secondary market prices. In Section 2, the index construction methodology based on Stein (2013) is discussed and the results are explained. In Section 3, the changing return-to-risk characteristics of GOEREFs are discussed.…”