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Return Patterns of German Open-End Real Estate Funds

An Empirical Explanation of Smooth Fund Returns

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Sebastian Gläsner

The aim of this study is to better understand stable capital growth of German properties and to contribute to the explanation of stable fund returns. In the course of the investigation, evidence is found that both phenomena are interrelated. All analyses are based on publicly available data; therefore they are not limited by client interests. Results show three different pieces of evidence on return smoothing, namely the influence on valuation, the timing of valuations, and the influence on returns resulting in return differences by calendar months. Together with the notion of internationally uniquely stable returns, it seems impossible to extract true asset volatility from the observed appraisal-based time series.

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LIST OF ABBREVIATIONS

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ANOVA Analysis of Variance BVI Bundesverband Investment und Asset Management e.V. CREF Commingled Real Estate Fund DCF Discounted Cash Flow DIX Deutscher Immobilien Index [German property index] ERES European Real Estate Society EURIBOR European InterBank Offered Rate FV Fund Volume GAV Gross Asset Value GOEF German Open-end Real Estate Fund HHI Herfindahl-Hirschman Index INREV European Association for Investors in Non-listed Real Estate Funds IPD Investment Property Databank IPG GmbH Investment Property Databank GmbH N Number of Observations NA Not Available NAV Net Asset Value NCREIF National Council of Real Estate Investment Fiduciaries NPI NCREIF Property Index OFIX-ALL Offene Fonds Immobilien Index [Open-end property fund in- dex] OFIX-10 Offene Fonds Immobilien Index [Open-end property fund in- dex] with only those GOEFs that have at least ten years of re- turn history OLS Ordinary Least Squares REIT Real Estate Investment Trust REXP Deutscher Rentenindex [German governmental bond index] SW Shapiro-Wilk WC Wilcoxon WertV Wertermittlungsverordnung [Appraisal act]

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