Forecasting share redemption suspensions and net asset value decreases of open-end real estate funds: The role of investment ratings

KASPEREIT, Thomas

doi:10.1007/s41471-025-00206-9

Article (Scientific journals)

Forecasting share redemption suspensions and net asset value decreases of open-end real estate funds: The role of investment ratings

KASPEREIT, Thomas

2025 • In Schmalenbach Journal of Business Research

Peer reviewed

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https://hdl.handle.net/10993/28455

DOI
10.1007/s41471-025-00206-9

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Keywords :

Investment ratings; German open-end real estate funds; Share redemption suspensions

Abstract :

[en] In this paper, models are built and evaluated to forecast the share redemption suspensions and net asset value decreases of German open-end real estate funds. These models emphasize the potential role of qualitative investment ratings in the above two aspects. The results reveal that better ratings correlate with a lower likelihood of future redemption suspensions and net asset value decreases. When ratings are included in the forecasting models, the out-of-sample forecast quality is enhanced. By extending the analysis to latent redemption suspensions from July 2016 to June 2024, when real redemption suspensions were unobservable due to unusually favorable interest rate momentum and a regulatory regime shift toward a minimum holding period, this paper makes an important practical contribution by providing estimates of redemption suspension probabilities.

Disciplines :

Accounting & auditing

Author, co-author :

KASPEREIT, Thomas ; University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Center for Research in Economic Analysis (CREA)

External co-authors :

Language :

English

Title :

Forecasting share redemption suspensions and net asset value decreases of open-end real estate funds: The role of investment ratings

Publication date :

25 March 2025

Journal title :

Schmalenbach Journal of Business Research

eISSN :

2366-6153

Publisher :

Springer Nature, Heidelberg, Unknown/unspecified

Peer reviewed :

Peer reviewed

Focus Area :

Finance

Additional URL :

https://link.springer.com/article/10.1007/s41471-025-00206-9#citeas

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since 21 September 2016

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