Empirical analysis of the illiquidity premia of German real estate securities

In this study, we analyze illiquidity premia and their effect on the expected returns of German real estate securities. To this end, we use a unique data set that includes real estate stocks, real estate investment trusts (REITs), and open- and closed-end real estate funds for 2003–2017. We follow Amihud’s (JFM 5:31–56, 2002) structural approach; specifically, we estimate Amihud’s illiquidity factors, investigate the relationships between expected returns and illiquidity, and analyze the effects of expected and unexpected market illiquidity on future returns. We show that illiquidity plays an important role in expected returns for real estate stocks and investment trusts (REITs); however, it has less clear effects on open- and closed-end funds. We find that the adjusted ILLIQ includes appropriate correction factors for securities with low trading activity and is a useful improvement. We also find evidence of structural breaks in the relationship between returns and illiquidity.

Exploring the diversification benefits of US international equity closed-end funds

I use the simulation approach of Jobson and Korkie (J Portfolio Manag 7:70–74, 1981), combined with Michaud optimization (Michaud and Michaud, Efficient asset management: a practical guide to stock portfolio optimization and asset allocation, Oxford University Press, Oxford, 2008), to evaluate whether US international equity closed-end funds (CEF) provide out-of-sample diversification benefits. My study finds that international CEF do not provide diversification benefits across the whole sample period. However, the out-of-sample diversification benefits of international CEF do vary across economic states. I find that there are significant diversification benefits when the lagged one-month US Treasury Bill return is lower than normal, and when higher than normal, regardless of the benchmark investment universe used.

SEC adopts offering reforms for BDCs and registered closed-end funds and issues a temporary exemptive order

Purpose To analyze and identify the key findings from the April 8, 2020, U.S. Securities and Exchange Commission’s (the “SEC”) recently approved rule amendments (“Adopted Rules”) extended to business development companies (“BDCs”) and registered closed-end funds and an Exemptive Order providing regulatory flexibility to BDCs. Design/methodology/approach Discusses the key takeaways and implications from the Adopted Rules and Exemptive Order. Findings The Adopted Rules provide BDCs and registered closed-end funds some of the more efficient registration, reporting, offering, and communication requirements currently applicable to operating companies. The Exemptive Order provides BDCs additional flexibility with respect to (1) the issuance and sale of senior securities and (2) the participation in certain joint transactions. Practical implications Firms and their representatives should heed the trends in both the substantial restitution FINRA is ordering and the related enforcement issues in the cases FINRA has brought. Originality/value Expert analysis and guidance from experienced asset management lawyers.

CURRENT TRENDS IN THE DEVELOPMENT OF VENTURE ENTERPRISE IN UKRAINE

The article is devoted to the analysis of quantitative and structural parameters of venture business development in Ukraine, so it seems appropriate to focus on its most generalizing features and characteristics, which have been clearly outlined in recent decades. First of all, it should be noted the extremely low level of capitalization of the domestic venture capital market. Also important for a comprehensive analysis of the current state and trends in domestic venture entrepreneurship is the number of venture capital investment institutions and a significant increase in the level of concentration of the domestic asset management market. Another conclusion that follows from the data concerns the dominance of venture mutual investment funds, ie closed-end funds, in the subjective structure of domestic venture entrepreneurship. Domestic venture funds are also characterized by an extremely insignificant share of the value of their assets in the gross domestic product of our state. Another well-established trend in the structural dynamics of domestic venture funds in the last decade is the growing share of foreign capital in the structure of their investment flows. In addition, in recent years there has been a clear eloquent trend, namely: the growing share of domestic individuals in the subjective structure of investors in venture mutual investment institutions. International corporate structures, business incubators and accelerators are actively opening their innovative divisions and representative offices in our country. It is worth noting that the number and volume of funding for Ukrainian startups is increasing from year to year. In recent years, the processes of attracting funding through crowdfunding platforms and grant sources have been developing dynamically. Evidence of the growing interest of foreign venture capitalists in Ukrainian startups is the intensification of mergers and acquisitions in this area. Unfortunately, maintaining the extremely low economic motivation of venture capitalists to invest money in the early stages of research and self-search by inventors in most cases leads to dependence on investors and unequal exchange of property rights for scientific ideas for financial resources.