Return patterns of German open-end real estate funds: an empirical explanation of smooth fund returns
Saved in:
| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | English |
| Published: |
Frankfurt am Main [u.a.]
Lang
2010
|
| Series: | Corporate finance and governance
1 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis Klappentext |
| Physical Description: | XII, 111 S. graph. Darst. |
| ISBN: | 9783631604069 |
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MARC
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| 245 | 1 | 0 | |a Return patterns of German open-end real estate funds |b an empirical explanation of smooth fund returns |c Sebastian Michael Gläsner |
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Record in the Search Index
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| adam_text | 3.4 RESULTS 42 VII TABLE OF CONTENTS LIST OF TABLES IX LIST OF FIGURES X
LIST OF ABBREVIATIONS XI LIST OF SYMBOLS XII 1 INTRODUCTION AND OVERVIEW
1 1.1 INTRODUCTION 1 1.2 ESSAY 1 : RESEARCH QUESTION AND MAIN FINDINGS 2
1.3 ESSAY 2: RESEARCH QUESTION AND MAIN FINDINGS 3 1.4 ESSAY 3: RESEARCH
QUESTION AND MAIN FINDINGS 3 1.5 ESSAY 4: RESEARCH QUESTION AND MAIN
FINDINGS 4 2 APPRAISAL WITHIN OPEN-END REAL ESTATE FUNDS: EVIDENCE ON
BIASED APPRAISALS IN FUND CRISIS YEAR 2006 5 2.1 INTRODUCTION 5 2.2
LITERATURE REVIEW 6 2.2.1 FUND MANAGEMENT INFLUENCE ON APPRAISERS 7
2.2.2 BIASED APPRAISALS ON THE PORTFOLIO LEVEL 11 2.2.3 RETURN VARIANCE
AND PORTFOLIO DIVERSIFICATION IMPLICATIONS 12 2.3 DATA AND RESEARCH
METHOD 13 2.3.1 DATA 13 2.3.2 RESEARCH METHOD 14 2.3.2.1 DIFFERENTIATING
VALUE CHANGES BY PORTFOLIO OWNERSHIP 14 2.3.2.2 ATTRIBUTING VALUE
CHANGES TO PORTFOLIO CHARACTERISTICS 16 2.4 RESULTS 17 2.4.1 VALUE
CHANGES BY PORTFOLIO OWNERSHIP 17 2.4.2 ATTRIBUTION OF VALUE CHANGES BY
PORTFOLIO CHARACTERISTICS 22 2.4.3 ACCOUNTING FOR THE CHANGE IN THE
OCCUPANCY RATE 27 2.5 CONCLUSION 30 3 LACK OF GERMAN REAL ESTATE FUND
VOLATILITY - IS THE MARKET OR THE VALUER TO BLAME? 35 3.1 INTRODUCTION
35 3.2 PREVIOUS RESEARCH 36 3.3 RESEARCH DESIGN AND DATASET 40
BIBLIOGRAFISCHE INFORMATIONEN HTTP://D-NB.INFO/1000100030 DIGITALISIERT
DURCH VILI 3.4.1 COMPARING CAPITAL GROWTH AND RENTAL VALUE GROWTH 42
3.4.1.1 CAPITAL GROWTH RATES OF GOEF PORTFOLIOS VS. LOCALLY HELD
PORTFOLIOS. 42 3.4.1.2 RENTAL VALUE GROWTH OF GOEF PORTFOLIOS VS.
LOCALLY HELD PORTFOLIOS. 46 3.4.2 CONSTITUENTS OF THE CAPITAL GROWTH 47
3.4.3 QUANTILE REGRESSION OF RENT MULTIPLIER 52 3.5 RESULTS 56 4 KEEP
THE FAITH? - RETURN STABILITY OF OPEN-END REAL ESTATE FUNDS 57 4.1
INTRODUCTION 57 4.2 DATA AND RESEARCH METHOD 60 4.2.1 DATASET 60 4.2.2
RESEARCH HYPOTHESES 61 4.3 RESULTS 63 4.3.1 DISTRIBUTION OF FUND RETURNS
63 4.3.2 CORRELATION OF ASSET CONCENTRATION AND FUND RETURN VARIANCE 64
4.3.3 STRONG PROPERTY VALUE CHANGES AND RETURN DEFLECTIONS 68 4.3.4
SIMULATION OF RANDOMLY DISTRIBUTED APPRAISALS 73 4.4 CONCLUSION 74 5
CALENDAR ANOMALIES IN GERMAN OPEN-END FUND RETURNS 77 5.1 INTRODUCTION
77 5.2 APPRAISAL SMOOTHING WITHIN GERMAN OPEN-END REAL ESTATE FUNDS 77
5.3 DATA 80 5.4 RESULTS 82 5.4.1 EMPIRICAL EVIDENCE OF AUTOCORRELATION
IN FUND RETURNS 82 5.4.2 FUND RETURNS BY CALENDAR MONTH 84 5.5
CONCLUSION 93 6 CONCLUSION 95 REFERENCES 98
The aim of this study is to better understand stable capital growth of Ger¬
man 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 dif¬
ferences 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.
|
| any_adam_object | 1 |
| author | Gläsner, Sebastian Michael |
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| author_sort | Gläsner, Sebastian Michael |
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| bvnumber | BV036115996 |
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| ctrlnum | (OCoLC)600999448 (DE-599)DNB1000100030 |
| dewey-full | 332.632470943 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.632470943 |
| dewey-search | 332.632470943 |
| dewey-sort | 3332.632470943 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Thesis Book |
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| id | DE-604.BV036115996 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T22:12:23Z |
| institution | BVB |
| isbn | 9783631604069 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-019006106 |
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| physical | XII, 111 S. graph. Darst. |
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| series | Corporate finance and governance |
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| spelling | Gläsner, Sebastian Michael Verfasser aut Return patterns of German open-end real estate funds an empirical explanation of smooth fund returns Sebastian Michael Gläsner Frankfurt am Main [u.a.] Lang 2010 XII, 111 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Corporate finance and governance 1 Zugl.: Oestrich-Winkel, Europ. Business School, Diss., 2009 Performance Kapitalanlage (DE-588)4219415-5 gnd rswk-swf Offener Immobilienfonds (DE-588)4115445-9 gnd rswk-swf Deutschland (DE-588)4011882-4 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Deutschland (DE-588)4011882-4 g Offener Immobilienfonds (DE-588)4115445-9 s Performance Kapitalanlage (DE-588)4219415-5 s DE-604 Corporate finance and governance 1 (DE-604)BV036435593 1 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=019006106&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Digitalisierung UB Passau application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=019006106&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Klappentext |
| spellingShingle | Gläsner, Sebastian Michael Return patterns of German open-end real estate funds an empirical explanation of smooth fund returns Corporate finance and governance Performance Kapitalanlage (DE-588)4219415-5 gnd Offener Immobilienfonds (DE-588)4115445-9 gnd |
| subject_GND | (DE-588)4219415-5 (DE-588)4115445-9 (DE-588)4011882-4 (DE-588)4113937-9 |
| title | Return patterns of German open-end real estate funds an empirical explanation of smooth fund returns |
| title_auth | Return patterns of German open-end real estate funds an empirical explanation of smooth fund returns |
| title_exact_search | Return patterns of German open-end real estate funds an empirical explanation of smooth fund returns |
| title_full | Return patterns of German open-end real estate funds an empirical explanation of smooth fund returns Sebastian Michael Gläsner |
| title_fullStr | Return patterns of German open-end real estate funds an empirical explanation of smooth fund returns Sebastian Michael Gläsner |
| title_full_unstemmed | Return patterns of German open-end real estate funds an empirical explanation of smooth fund returns Sebastian Michael Gläsner |
| title_short | Return patterns of German open-end real estate funds |
| title_sort | return patterns of german open end real estate funds an empirical explanation of smooth fund returns |
| title_sub | an empirical explanation of smooth fund returns |
| topic | Performance Kapitalanlage (DE-588)4219415-5 gnd Offener Immobilienfonds (DE-588)4115445-9 gnd |
| topic_facet | Performance Kapitalanlage Offener Immobilienfonds Deutschland Hochschulschrift |
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| volume_link | (DE-604)BV036435593 |
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