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 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

In stock

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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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