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Abstract
Executive Summary. This paper investigates why a set of seventy-two European property shares were traded below their net asset values in the year 2002. The findings indicate an average discount to asset value of 36%, which turns out to be highest among the U.K. companies in the sample. When these discounts are related to a wide set of variables, a significantly negative relation can be seen between property share discounts and firm size, liquidity, the level of focus on property types, and index-membership. The latter two parameters have not been considered before in previous literature and allow the model to explain over half of the observed cross-sectional variation in closed-end discounts.