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作者

来源

JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS,Vol.55,Issue1,P.65-105

语言

英文

关键字

Real estate securities; REITs; Commonality in liquidity; Liquidity risk; Multi-factor model; Threshold regression; Panel data; BID-ASK SPREAD; CROSS-SECTION; STOCK RETURNS; INVESTOR SENTIMENT; MARKET LIQUIDITY; RISK; PERFORMANCE; FUNDS

作者单位

[Hoesli, Martin] Univ Geneva, SFI, 40 Blvd Pont dArve, CH-1211 Geneva 4, Switzerland. [Hoesli, Martin] Univ Aberdeen, Business Sch, Edward Wright Bldg, Aberdeen AB24 3QY, Scotland. [Hoesli, Martin] Kedge Business Sch, F-33405 Talence, France. [Kadilli, Anjeza; Reka, Kustrim] Univ Geneva, Sch Econ & Management, 40 Blvd Pont dArve, CH-1211 Geneva 4, Switzerland. Reka, K (reprint author), Univ Geneva, Sch Econ & Management, 40 Blvd Pont dArve, CH-1211 Geneva 4, Switzerland. E-Mail: martin.hoesli@unige.ch; anjez.kadilli@gmail.com; kustrim.reka@gmail.com

摘要

We conduct an empirical investigation of the exposure of U.S. REIT returns to commonality in liquidity. Taking advantage of the specific characteristics of REITs, we study three types of commonality in liquidity: within-asset commonality, cross-asset commonality (with the stock market), and commonality with the underlying property market. We find evidence that the three types of commonality in liquidity represent significant risk factors for REIT returns but only during bad market conditions. We also find that using a linear approach, rather than a conditional, would have underestimated the role of commonality in liquidity risk. This could explain (at least partly) the small impact of commonality on asset prices documented in the extant literature. We also analyze the economic sources of commonality in liquidity and find that demand-side factors prevail over supply-side factors.