In this paper we examine empirically the closed-end fund puzzle for stock quoted Swiss real estate mutual funds in 1970-2003. For this period shares of those mutual funds are predominately quoted with a premium to the net asset value. Using a panel approach we examine whether both the rational...

The term structures of return volatility for UK and US direct and securitized commercial real estate are compared using vector autoregressions. To capture the dynamics of the real estate asset markets it is important to include valuation ratios specific to the asset market analyzed. In the UK,...

We estimate an identical vector autoregressive (VAR) model with house prices for 14 European industrial countries, 7 Central and Eastern European (CEE) countries and the US. Using counterfactual simulations of consumption and investment responses to policy rate induced house price shocks, we...

Using data on apartment sales in Paris area, we investigate the extent of temporal and spatial correlation in housing prices. We employ a novel estimation procedure that allows us to disentangle these effects. We show that ignoring the heteroscedasticity along either of the two dimensions can...

There is a continuing discussion whether there is a superior appraisal method and which one it is. The often expected need for a standardized appraisal method for the merging real estate market with its international cross border investments intensifies this discussion. There are some remarkable...

Saving for retirement and the acquisition of a private home are among the most important decisions private investors face in their lives. Tax rules are an important factor influencing household portfolio structure. Both the taxable treatment of housing and assets in tax-deferred retirement...

Open end funds for private investors offer in general daily redemption of outstanding shares. A high liquidity of shares is in sharp contrast to the illiquidity of real estate. Therefore, the typical construction for real estate funds which are designed for a broader public is closed ended....

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...