Weistroffer, Christian and Sebastian, Steffen (2015) The German Open-End Fund Crisis - A Valuation Problem? JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS, 50 (4). pp. 517-548. ISSN 0895-5638, 1573-045X
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Using a unique dataset of appraised values and transaction prices, this paper investigates whether systematic over-appraisals could have been at the heart of the 2005/2006 German open-end fund crisis. Because sold properties are valued more closely to market values than unsold properties, we develop a hedonic pricing model that controls for sample selectivity. The resulting estimates of prices achievable in the market are then compared to appraised values. Our results show that the properties held by open-end real estate funds were likely to have been overvalued prior to the crisis. This supports the view that a fundamentally justified run was at the heart of the 2005/2006 crisis, and it challenges the effectiveness of current valuation practices.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | BANK RUNS; ESTATE; LIQUIDITY; INDEXES; PRICES; IMPACT; BIAS; Appraisal-based valuation; Transaction-based valuation; Hedonic pricing; Commercial real estate; Open-end real estate funds |
| Subjects: | 300 Social sciences > 330 Economics |
| Divisions: | Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Immobilienfinanzierung (Prof. Dr. Steffen Sebastian) Business, Economics and Information Systems > Institut für Immobilienenwirtschaft / IRE|BS > Lehrstuhl für Immobilienfinanzierung (Prof. Dr. Steffen Sebastian) |
| Depositing User: | Dr. Gernot Deinzer |
| Date Deposited: | 22 Jul 2019 07:22 |
| Last Modified: | 22 Jul 2019 07:22 |
| URI: | https://pred.uni-regensburg.de/id/eprint/5606 |
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