Access the full text.
Sign up today, get DeepDyve free for 14 days.
J. Ingersoll (1976)
A theoretical and empirical investigation of the dual purpose fundsJournal of Financial Economics, 3
R.J. Shiller
Market Volatility
A. Kyle (1985)
Continuous Auctions and Insider TradingEconometrica, 53
D. Capozza, Paul Seguin (1999)
Focus, Transparency and Value: The REIT EvidenceReal Estate Economics, 27
K. Cuthbertson
Quantitative Financial Economics
G. Gemmill, Dylan Thomas (2002)
Noise Trading, Costly Arbitrage, and Asset Prices: Evidence from Closed‐end FundsJournal of Finance, 57
K.H. Liow, Y.C. Koh
The dynamics of real estate company discounts in real estate markets
Charles Lee, Andrei Shleifer, R. Thaler (1990)
Investor Sentiment and the Closed-End Fund PuzzleNBER Working Paper Series
K. Liow (1996)
Property companies’ share price discounts and property market returns The Singapore evidenceJournal of Property Finance, 7
D. Capozza, Sohan Lee (1995)
Property Type, Size, and REIT ValueJournal of Real Estate Research, 10
Y. Amihud, H. Mendelson (1987)
Trading Mechanisms and Stock Returns: An Empirical InvestigationJournal of Finance, 42
D. Quan, J. Quigley (1991)
Price formation and the appraisal function in real estate marketsThe Journal of Real Estate Finance and Economics, 4
G. Morri
Leverage and NAV discount in Italian real estate investment funds
P. Mcallister, A. Baum, N. Crosby, P. Gallimore, A. Gray (2003)
Appraiser behaviour and appraisal smoothing: some qualitative and quantitative evidenceJournal of Property Research, 20
B. Malkiel (1995)
The Structure of Closed-End Fund Discounts Revisited, 21
J. Clayton, G. MacKinnon
Explaining departures from NAV in REIT pricing: noise or information?
J. Long, A. Shleifer, Lawrence Summers, Robert Waldmann (1990)
Noise Trader Risk in Financial MarketsJournal of Political Economy, 98
G. Morri, P. Mcallister, C. Ward (2005)
Explaining Deviations From NAV In UK Property Companies: Rationality And Sentimentality
K. Liow (2003)
Property Company Stock Price and Net Asset Value: A Mean Reversion PerspectiveThe Journal of Real Estate Finance and Economics, 27
K. Liow, Ying Li (2006)
Net Asset Value Discounts for Asian-Pacific Real Estate Companies: Long-Run Relationships and Short-Term DynamicsThe Journal of Real Estate Finance and Economics, 33
Kenneth Boudreaux (1973)
DISCOUNTS AND PREMIUMS ON CLOSED‐END MUTUAL FUNDS: A STUDY IN VALUATIONJournal of Finance, 28
D. Brounen, M. Laak (2005)
Understanding the Discount: Evidence from European Property SharesThe journal of real estate portfolio management, 11
B. Barber (1996)
Forecasting the Discounts of Market Prices from Appraised Values for Real Estate Limited PartnershipsReal Estate Economics, 24
A. Adams, P. Venmore‐Rowland (1990)
Property share valuation, 8
Paul Allen, C. Sirmans (1987)
An analysis of gains to acquiring firm's shareholdersJournal of Financial Economics, 18
J. PrattEugene (1966)
Myths Associated with Closed-End Investment Company DiscountsFinancial Analysts Journal, 22
R. Anderson, P. Conner, Y. Liang
Dimensions of REIT Pricing: Size, Growth and Leverage
S. James (2003)
An Evaluation of Property Company Discounts in Europe
P. Allen, C. Sirmans
An analysis of gains to acquiring firm's shareholders: the special case of REITs
K.H. Liow
Net asset value discount of Singapore property companies
R. Barkham, C. Ward (1999)
Investor Sentiment and Noise Traders: Discount to Net Asset Value in Listed Property Companies in the U.K.Journal of Real Estate Research, 18
B. Malkiel (1977)
THE VALUATION OF CLOSED-END INVESTMENT-COMPANY SHARESJournal of Finance, 32
Andrei Shleifer, Robert Vishny (1990)
Equilibrium Short Horizons of Investors and FirmsThe American Economic Review, 80
J.E. Ingersoll
A theoretical and empirical investigation of the dual purpose funds: an application of contingent‐claim analysis
Purpose – The closed‐end fund puzzle is one of the most famous unsolved issues in financial economics and as such, over time, it has raised the interest of many authors also in the real estate field. The aim of this paper is both to determine whether the effect of leverage on net asset value (NAV) discount is biased by an accounting effect as well as to investigate the determinants of NAV discount by means of the “rational” approach. Design/methodology/approach – The hypotheses are tested by using both the traditional formula as well as a new, unlevered one to calculate the NAV discount. A best subset analysis is carried out to ascertain the better set of determinants. Findings – The main result of the analysis is that the influence of leverage on the NAV discount is biased by an accounting effect while other factors are highly significant. Research limitations/implications – This paper is a starting point for additional research on some of the identified factors as well as on similar samples for which a wider set of data is available. Originality/value – The homogeneity of the Italian real estate investment funds sample, which is not biased by any fiscal effect, and the use of an unlevered formula to calculate NAV discount are important factors when trying to understand the determinants of NAV discount.
Journal of European Real Estate Research – Emerald Publishing
Published: May 8, 2009
Keywords: Assets; Gearing; Real estate; Discounts; Investment funds; Italy
Read and print from thousands of top scholarly journals.
Already have an account? Log in
Bookmark this article. You can see your Bookmarks on your DeepDyve Library.
To save an article, log in first, or sign up for a DeepDyve account if you don’t already have one.
Copy and paste the desired citation format or use the link below to download a file formatted for EndNote
Access the full text.
Sign up today, get DeepDyve free for 14 days.
All DeepDyve websites use cookies to improve your online experience. They were placed on your computer when you launched this website. You can change your cookie settings through your browser.