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Forecasting Share Redemption Suspensions and Net Asset Value Decreases of Open-End Real Estate Funds: The Role of Investment Ratings

Thomas Kaspereit

Schmalenbach Journal of Business Research2025https://doi.org/10.1007/s41471-025-00206-9article
AJG 2
Weight
0.50

What the paper says

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.

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https://doi.org/https://doi.org/10.1007/s41471-025-00206-9

Or copy a formatted citation

@article{thomas2025,
  title        = {{Forecasting Share Redemption Suspensions and Net Asset Value Decreases of Open-End Real Estate Funds: The Role of Investment Ratings}},
  author       = {Thomas Kaspereit},
  journal      = {Schmalenbach Journal of Business Research},
  year         = {2025},
  doi          = {https://doi.org/https://doi.org/10.1007/s41471-025-00206-9},
}

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Forecasting Share Redemption Suspensions and Net Asset Value Decreases of Open-End Real Estate Funds: The Role of Investment Ratings

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Evidence weight

0.50

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.