Eres : Digital Library : Works

Paper eres2012_088:
NAV discount analysis using the appraisal reduction

id eres2012_088
authors Giacomo Morri and Roberto Lupieri
year 2012
title NAV discount analysis using the appraisal reduction
source 19th Annual European Real Estate Society Conference in Edinburgh, Scotland
summary This work is aimed at explaining the closed-end fund puzzle using the “rational” or funda-mental approach on a sample of tax-privileged real estate companies. NAV discounts in UK REITs and French SIICs over a five-year period is analyzed in order to find its drivers also us-ing a new methodologies. After a traditional approach testing seven independent variables over four model specifications, the ungeared discount formula is used in order to take in ac-count bias in the way the traditional discount is computed. Eventually, a new approach based on the “appraisal reduction” considers investor sentiment by reducing appraisals be-fore NAV calculation. By eliminating the market sentiment, it is possible to better identify firm-specific factors that capture their sole contribution to the NAV discount explanation. Results show that there is indeed a change in the relationship between leverage and NAV discount. Moreover, liquidity and performance are not always significant, management re-muneration and investment activity are perceived similarly in France and in the UK while size has a different effect in the two markets.
series ERES:conference
type normal paper
content file.ppt (1,940,992 bytes)
discussion No discussions. Post discussion ...
session Parallel Session B4
last changed 2014/10/21 21:51
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