Return Patterns of German Open-End Real Estate Funds: An Empirical Explanation of Smooth Fund ReturnsPeter Lang, 2010 - 111 pagina's 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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analysis asset concentration asset values autocorrelation bear market calendar month capital growth rates change in rental changes in market changes of single client influence coefficients DEGI EUROPA Deka-Immobilien Fonds DERV Diaz DOCR estimated rental values EURIBOR EURO ImmoProfil EUROREAL Figure fund management Gallimore Geltner German open-end funds German open-end real German properties German reunification GOEF properties grundbesitz-europa HANSAimmobilia HAUS-INVEST europa Immo Immobilien index level influence on valuation investors Jones Lang LaSalle Journal of Property Journal of Real kurtosis market values monthly fund returns monthly returns negative occupancy rate open-end real estate p-value Property Investment property markets property value changes Quantile ranking position Real Estate Economics real estate funds real estate return regression rent multiplier rental value changes sample SEB ImmoInvest September serial correlation significant single properties standard deviation t-test Table testing experiment Unilmmo unsmooth valuers variables volatility year's purchase