Commonality in Liquidity and Real Estate Securities

Martin Hoesli, Anjeza Kadilli, Kustrim Reka* (Corresponding Author)

*Corresponding author for this work

Research output: Contribution to journalArticle

1 Citation (Scopus)

Abstract

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.

Original languageEnglish
Pages (from-to)65-105
Number of pages41
JournalJournal of Real Estate Finance and Economics
Volume55
Issue number1
Early online date5 Apr 2016
DOIs
Publication statusPublished - 1 Jul 2017

Fingerprint

property market
stock market
market conditions
liquidity
real estate
risk factor
assets
economics
market
exposure
price
demand
Liquidity
Real estate
Commonality
supply
evidence

Keywords

  • Commonality in liquidity
  • Liquidity risk
  • Multi-factor model
  • Panel data
  • Real estate securities
  • REITs
  • Threshold regression

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Economics and Econometrics
  • Urban Studies

Cite this

Commonality in Liquidity and Real Estate Securities. / Hoesli, Martin; Kadilli, Anjeza; Reka, Kustrim (Corresponding Author).

In: Journal of Real Estate Finance and Economics, Vol. 55, No. 1, 01.07.2017, p. 65-105.

Research output: Contribution to journalArticle

Hoesli, Martin ; Kadilli, Anjeza ; Reka, Kustrim. / Commonality in Liquidity and Real Estate Securities. In: Journal of Real Estate Finance and Economics. 2017 ; Vol. 55, No. 1. pp. 65-105.
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