دانلود مقاله ISI انگلیسی شماره 49666
عنوان فارسی مقاله

وجوه اموال باز: ریسک و بازده مشخصات - مزایای تنوع و خطرات نقدینگی

کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
49666 2012 18 صفحه PDF سفارش دهید محاسبه نشده
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
Open-ended property funds: Risk and return profile — Diversification benefits and liquidity risks
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : International Review of Financial Analysis, Volume 21, January 2012, Pages 90–107

کلمات کلیدی
خطر حرکت نزولی - عدم نقدینگی - بودجه اموال باز - تعلیق موقت بازخریدها اشتراک
پیش نمایش مقاله
پیش نمایش مقاله وجوه اموال باز: ریسک و بازده مشخصات - مزایای تنوع و خطرات نقدینگی

چکیده انگلیسی

In addition to the well-established forms of real estate investing (direct and listed), investors can also choose open-ended property funds (OPFs), which are considered a complementary real estate investment option. OPF fund managers generally provide daily liquidity, and these funds must maintain at least 5% liquidity. If liquidity falls below 5%, share redemptions will be temporarily suspended, for a period of up to two years. During this time, investors can only sell shares on the secondary market (exchange), and are thus subject to significant liquidity risk. The objective of this paper is to examine the impact of OPFs as an investment vehicle on the risk and return profile. OPFs in principle have the same underlying as direct and listed real estate investments, but they are subject to a different regulatory regime. Therefore, we analyze the diversification benefits of OPFs in mixed-asset portfolios for various risk measures, investor types, and holding periods. We find that OPFs are ideally suited to reduce portfolio risk. This result holds independent of the holding period and whether in- or out-of-sample Monte Carlo portfolio simulations are used. However, these positive effects come at the cost of increased risk from temporary share redemption suspensions. During these periods, investors may have to accept an average 6% discount in the secondary market compared to the net asset value calculated by OPFs themselves. These discounts can go as high as 20% if investors fear that OPF management will not be able to ensure liquidity within the two-year time limit, and will have to “fire-sell” properties.

خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.