The Determinants of Mutual Fund Starts: Is Real Estate Different?
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1 The Determinants of Mutual Fund Starts: Is Real Estate Different? David H. Downs 1 Steffen Sebastian 2 René Woltering 2 1 Virginia Commonwealth University 2 University of Regensburg 20th Annual ERES Conference in Vienna, 3rd-6th July 2013
2 Why so few?
3 What Determines? Which factors affect the fund family s decision to open a new real estate fund? Is this decision different from other mutual fund openings? What role play specifics of real estate as an asset class?
4 What Determines? Which factors affect the fund family s decision to open a new real estate fund? Is this decision different from other mutual fund openings? What role play specifics of real estate as an asset class?
5 What Determines? Which factors affect the fund family s decision to open a new real estate fund? Is this decision different from other mutual fund openings? What role play specifics of real estate as an asset class?
6 Why (not) open new mutual funds? Exploiting investor heterogeneity, Massa, Increasing the likelihood of having a top performer, Goetzmann and Ibbotson, 1993; Evans, Window dressing the poor performance of existing funds, Khorana and Servaes, 1999; Berzins, Existing funds becoming too large, Chen et al., 2004, Zhao, Cannibalization, Khorana and Servaes, 2011.
7 Why (not) open new mutual funds? Exploiting investor heterogeneity, Massa, Increasing the likelihood of having a top performer, Goetzmann and Ibbotson, 1993; Evans, Window dressing the poor performance of existing funds, Khorana and Servaes, 1999; Berzins, Existing funds becoming too large, Chen et al., 2004, Zhao, Cannibalization, Khorana and Servaes, 2011.
8 Why (not) open new mutual funds? Exploiting investor heterogeneity, Massa, Increasing the likelihood of having a top performer, Goetzmann and Ibbotson, 1993; Evans, Window dressing the poor performance of existing funds, Khorana and Servaes, 1999; Berzins, Existing funds becoming too large, Chen et al., 2004, Zhao, Cannibalization, Khorana and Servaes, 2011.
9 Why (not) open new mutual funds? Exploiting investor heterogeneity, Massa, Increasing the likelihood of having a top performer, Goetzmann and Ibbotson, 1993; Evans, Window dressing the poor performance of existing funds, Khorana and Servaes, 1999; Berzins, Existing funds becoming too large, Chen et al., 2004, Zhao, Cannibalization, Khorana and Servaes, 2011.
10 Why (not) open new mutual funds? Exploiting investor heterogeneity, Massa, Increasing the likelihood of having a top performer, Goetzmann and Ibbotson, 1993; Evans, Window dressing the poor performance of existing funds, Khorana and Servaes, 1999; Berzins, Existing funds becoming too large, Chen et al., 2004, Zhao, Cannibalization, Khorana and Servaes, 2011.
11 Real Estate Specific Hypotheses Hypothesis 1 The real estate fund opening decision is particularly sensitive to fund flows into existing real estate funds of the family. Illiquidity of direct property Vulnerability of German open property funds to negative cash flow shocks, Bannier et al., 2008 Channeling of excess demand into the new real estate fund?
12 Real Estate Specific Hypotheses Hypothesis 1 The real estate fund opening decision is particularly sensitive to fund flows into existing real estate funds of the family. Illiquidity of direct property Vulnerability of German open property funds to negative cash flow shocks, Bannier et al., 2008 Channeling of excess demand into the new real estate fund?
13 Real Estate Specific Hypotheses Hypothesis 1 The real estate fund opening decision is particularly sensitive to fund flows into existing real estate funds of the family. Illiquidity of direct property Vulnerability of German open property funds to negative cash flow shocks, Bannier et al., 2008 Channeling of excess demand into the new real estate fund?
14 Real Estate Specific Hypotheses Hypothesis 2 Real Estate fund openings are more responsive to to fund flows at the aggregate industry level than other fund openings. Bank run risks at the aggregate industry level Attenuation of the cannibalization risk during times of high industry inflows
15 Real Estate Specific Hypotheses Hypothesis 2 Real Estate fund openings are more responsive to to fund flows at the aggregate industry level than other fund openings. Bank run risks at the aggregate industry level Attenuation of the cannibalization risk during times of high industry inflows
16 Real Estate Specific Hypotheses Hypothesis 3 Larger fund families are less inclined to open new real estate funds because economies of scale and scope achieved from fund openings are less pronounced for real estate funds. REITs: Economies of scale (Ambrose, Highfield, and Linneman (2005)) Equity Funds: Diseconomies of scale (Chen et al. (2004)) Barriers of entry for fund families which consider entering the real estate fund business
17 Real Estate Specific Hypotheses Hypothesis 3 Larger fund families are less inclined to open new real estate funds because economies of scale and scope achieved from fund openings are less pronounced for real estate funds. REITs: Economies of scale (Ambrose, Highfield, and Linneman (2005)) Equity Funds: Diseconomies of scale (Chen et al. (2004)) Barriers of entry for fund families which consider entering the real estate fund business
18 Real Estate Specific Hypotheses Hypothesis 3 Larger fund families are less inclined to open new real estate funds because economies of scale and scope achieved from fund openings are less pronounced for real estate funds. REITs: Economies of scale (Ambrose, Highfield, and Linneman (2005)) Equity Funds: Diseconomies of scale (Chen et al. (2004)) Barriers of entry for fund families which consider entering the real estate fund business
19 Modeling the Fund Opening Decision Regression Results The Ex-Post Effects of Fund Openings The (Real Estate) Fund Opening Decision Fund opening ij,t = α 0 + α 1 real estate + β 1 objective inflow j,t 1 + β 2 objective inflow j,t 1 re + β 3 objective-family inflow ij,t 1 + β 4 objfaminf ij,t 1 re + β 5 objective size j,t 1 + β 6 objective return j,t 1 + β 7 objective return j,t 1 re + β 8 objective-family excess return ij,t 1 + β 9 family assets in objective (%) ij,t 1 + β 10 large family opens j,t 1 + β 11 family size i,t 1 + β 12 family size i,t 1 re + β 13 number of funds opened in prior year i,t 1(1)
20 Flow Measures Introduction Modeling the Fund Opening Decision Regression Results The Ex-Post Effects of Fund Openings Model (i) Model (ii) Model (iii) Constant *** *** *** (-18.29) (-17.94) (-18.11) Real estate (-1.59) (0.13) Flow measures and objective size Objective-family inflow (1.34) (1.23) (1.23) Objective-family inflow*re * 0.471* - (1.87) (1.88) Objective inflow 0.013*** 0.013*** 0.013*** (3.23) (3.18) (3.19) Objective inflow*re * (1.74) (1.62) Objective size(total assets) 0.004*** 0.005*** 0.004*** (5.22) (5.28) (5.24) Objective size(total assets)*re (-1.00) Observations Pseudo R
21 Effects of the Objective-Family Inflow Modeling the Fund Opening Decision Regression Results The Ex-Post Effects of Fund Openings.1 Fund opening probability real estate all other Family objective inflow
22 Effects of the Objective Inflow Modeling the Fund Opening Decision Regression Results The Ex-Post Effects of Fund Openings.08 Fund opening probability real estate all other Objective inflow
23 Modeling the Fund Opening Decision Regression Results The Ex-Post Effects of Fund Openings Economies of Scale and Scope Measures Model (i) Model (ii) Model (iii)... Follow-the-leader measure Large family opens 1.849*** 1.634*** 1.662*** (15.84) (12.33) (11.46) Large family opens*re (-0.80) Economies of scale and scope measures Family size(total assets) 0.209*** 0.214*** 0.213*** (6.23) (6.36) (6.26) Family size(total assets)*re *** (-2.91) (-0.86) Number of funds opened in prior year 0.048* 0.048* 0.049* (1.93) (1.92) (1.93) Number of funds opened in prior year*re (-0.94) Observations Pseudo R
24 Effects of the Size of the Fund Family Modeling the Fund Opening Decision Regression Results The Ex-Post Effects of Fund Openings.3 Fund opening probability real estate other asset classes Family size
25 Modeling the Fund Opening Decision Regression Results The Ex-Post Effects of Fund Openings What are the Consequences of (Real Estate) Fund Openings? Hypothesis 5 The overall effect of fund openings is positive. Hypothesis 6 Fund openings negatively affect flows into existing funds of the family.
26 Modeling the Fund Opening Decision Regression Results The Ex-Post Effects of Fund Openings Modeling the Ex-Post Effects of Fund Openings Objective-family inflow ij,t = α 0 + α 1 re + β 1 number of funds started ij,t 1 + β 2 number of funds started ij,t 1 re + β 3 objective-family inflow ij,t 1 + β 4 objective-family excess return ij,t 1 (2)
27 Modeling the Fund Opening Decision Regression Results The Ex-Post Effects of Fund Openings Regression Results on the Ex-Post Effects Overall effect Cannibalization effect (flows into all funds) (flows into olds funds) Model (i) Model (ii) Model (iii) Model (iv) Constant (0.67) (0.24) (1.33) (0.77) Real estate *** *** - (3.65) - (5.28) Number of funds started t *** 0.057*** 0.014** 0.017** (7.29) (7.48) (2.00) (2.50) Number of funds started t 1 re ** - (0.50) - (-2.40) Objective-family inflow t *** 0.365*** 0.251*** 0.244*** (23.09) (22.64) (17.73) (17.21) Objective-family excess return t (1.46) (1.45) (1.23) (1.14) Wald Chi Prob >Chi Observations
28 Summary Introduction Summary The real estate fund openings decision is different: Particularly sensitive to fund flows. Less driven by economies of scale and scope. However, there are also similarities: Objective Size (+), follow-the leader (+). Specialization (+), experience (+). Outlook Transferability to other real estate investment vehicles? German property fund crisis?
29 Summary Introduction Summary The real estate fund openings decision is different: Particularly sensitive to fund flows. Less driven by economies of scale and scope. However, there are also similarities: Objective Size (+), follow-the leader (+). Specialization (+), experience (+). Outlook Transferability to other real estate investment vehicles? German property fund crisis?
30 Summary Introduction Summary The real estate fund openings decision is different: Particularly sensitive to fund flows. Less driven by economies of scale and scope. However, there are also similarities: Objective Size (+), follow-the leader (+). Specialization (+), experience (+). Outlook Transferability to other real estate investment vehicles? German property fund crisis?
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