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We use a unique and comprehensive data set on open-end real estate funds in Germany to study a liquidity crisis that hit this industry between 2005 and 2006. Since this industry is comparably unregulated our data set permits us to contrast competing explanations of liquidity crisis. We find that...
Persistent link: https://www.econbiz.de/10008533497
-in-the-market pricing and a no-arbitrage condition. We find that (i) a higher crisis probability increases the liquidity premium and thus …
Persistent link: https://www.econbiz.de/10011093844