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Title:The dark and the bright side of liquidity risks: evidence from open-end real estate funds in Germany PDF Logo
Authors:Fecht, Falko
Wedow, Michael
Issue Date:2009
Series/Report no.:Discussion Paper Series 2: Banking and financial studies 2009,10
Abstract:We use a unique and comprehensive data set on open-end real estate funds in Germany to study a liquidity crisis that hit this industry between 2005 and 2006. Since this industry is comparably unregulated our data set permits us to contrast competing explanations of liquidity crisis. We find that fundamental factors matter for the liquidity outflow in normal times. During the crisis, however, they do not play a role. During the panic only strategic complementarities drive withdrawals. Furthermore, we find that funds with a higher load fee suffer from substantially larger outflows in the crisis period, while a higher load fee reduces gross outflows in normal times. As institutional investors predominately invest in funds with a low load fee this is in line with recent theory arguing that complementarities are mitigated by the involvement of large institutional investors who can at least partially correct for the coordination failure resulting from complementarities.
Subjects:Liquidity crisis
runs
strategic complementarities
JEL:G11
G12
G14
G23
ISBN:978-3-86558-561-5
Document Type:Working Paper
Appears in Collections:Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank

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