In this paper, we analyze whether an investment strategy which is based on the net asset value (NAV) spreads of real estate stocks yields positive excess returns. For a global sample of 542 real estate stocks over the 2000 to 2012 period, we find that a portfolio which is long in the quintile of...

We examine the decision to start a new mutual fund with particular emphasis on how this decision differences for the case of real estate funds. Our sample includes 1016 fund openings within the German mutual fund industry for the period 1992 to 2010. Within a logistic regression framework, the...

The implications of regulations on real estate funds are crucial, not only for the investment opportunities but also for the stability of the investment vehicle. We observe internationally several attempts to establish (or re-establish) open-end funds, as well for real estate as for other...

This paper examines the major determinants of fund openings based on a large set of Germany investment families. For a sample of 2611 fund openings over the period 2004 to 2008, we find preliminary evidence suggesting that initiations are positively related to the fund familyís assets under...

This paper supplies empirical evidence of the long-term relationships between the property markets in the UK and Germany and their macroeconomy. In so doing, findings contribute to improve the evaluation of the properties¥ behaviour from a macroeconomic point of view. The analysis is based on...

We analyze the effect of diversification across property types and regions on the performance of German mutual real estate funds, the predominant vehicle for indirect real estate investment in Germany. We find weak but robust evidence that diversification across property types destroys...

Real estate is an important asset, but as a direct investment subject to several difficulties. Shares of public open end funds or of real estate stock corporations represent a possible way for an investor to avoid these problems. The focus of this paper is the analysis of inflation risk of...

Open end real estate funds are the prevailing German retail product for commercial real estate investment. Yet, relatively few empirical studies explore the distinct characteristics of this asset class; almost no evidence exists with regard to flows. Looking at aggregate and individual fund...

This paper analyzes the relation between demographic structure and real asset returns on treasury bills, bonds, stocks and real estate for the G7-countries (United States, Canada, Japan, Italy, France, the United Kingdom and Germany). Based on a macroeconomic multifactor model, a variety of...

In this paper, we calculate a transaction based price index for apartments in Paris (France). The heterogeneous character of real estate is taken into account by using a multiple regression model. The functional form is specified using a general Box/Cox-function. The data base covers about 65%...