Liquidity Creation and Financial Fragility

An Analysis of Open-End Real Estate Funds

By (author) Christian Weistroffer

Book cover: Liquidity Creation and Financial Fragility

Extent: 120, 120 pages

Publisher: Logos Verlag Berlin

Subjects: Business & Economics

Language: English

Paperback (Published)

(December 2010)

ISBN: 9783832526979

6.65 x 9.45 inches

Price: $51.00

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Synopsis
Contributing Authors

Open-end real estate funds (OEREFs) are the predominant vehicle in Germany for channeling private capital flows into commercial real estate markets. They transform longer-term investment projects into daily redeemable claims. To the extent that OEREFs stand ready to both issue new shares and redeem outstanding ones on a daily basis they provide valuable liquidity transformation. At the same time, they become susceptible to run phenomena. This dissertation analyzes the inherent fragility of open-end real estate funds in light of the German open-end fund crisis of 2005/06. The dissertation comprises three papers. The first paper explores how fund performance and other factors influenced capital flows into OEREFs before, during and after the German open-end fund crisis of 2005/06. The second paper looks at the valuation practice of OEREFs and assesses whether funds have suffered from a valuation problem. It finds evidence in support of the view that systematic deviations of appraised values from prices achieved in the market were at the heart of the 2005/06 German open-end fund crisis. The third paper relates findings from banking theory to OEREFs. It explores under which conditions the open-end fund contract resembles a demand deposit contract that is prone not only to panics but also to fundamental runs. The dissertation concludes by discussing policy options to mitigate the run problem.

By (author) Christian Weistroffer

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