The Return on Secondary Market Trades of Open-end Real Estate Funds in Liquidation

P. Gerlach
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Abstract

As a result of the liquidity crisis in October 2008, 18 open-end real estate funds with a total volume of €26 billion in assets under management had to be liquidated. Many shareholders decided to sell their shares on the secondary market instead of awaiting the iterative liquidation of the fund assets. This paper estimates and explains the returns of these secondary market trades based on a unique dataset comprising secondary market prices and individual fund characteristics. The estimated returns exhibit an enormous variation across the funds and transaction dates. A subsiding panel regression demonstrates that the return variation can be attributed to the price-discount at which the shares traded on the secondary market and the composition of the remaining fund assets.
开放式房地产基金在清算中的二级市场交易收益
由于2008年10月的流动性危机,管理资产总额达260亿欧元的18只开放式房地产基金不得不进行清算。许多股东决定在二级市场上出售他们的股票,而不是等待基金资产的反复清算。本文基于包含二级市场价格和单个基金特征的独特数据集,估计并解释了这些二级市场交易的回报。在不同的基金和交易日期之间,预估回报率存在巨大差异。沉降面板回归表明,收益变化可归因于股票在二级市场交易的价格折扣和剩余基金资产的构成。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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