Intraday REIT liquidity

Publication Type:
Journal Article
Journal of Real Estate Research, 2005, 27 (2), pp. 155 - 176
Issue Date:
Full metadata record
Files in This Item:
Filename Description Size
Thumbnail2005002029.pdf6.51 MB
Adobe PDF
This study measures and analyzes the liquidity differences between Real Estate Investment Trusts (REITs) and other common stocks. The intraday variations documented in this study have implications for the appropriate timing of trades to minimize transaction costs and the substitutability of investments if illiquidity is priced. The findings reveal intraday patterns indicating lower liquidity for REITs than for common stocks when the liquidity measure is friction-based. In contrast, activity measures exhibit higher liquidity levels for REITs than for common stocks but this difference is only statistically significant at the beginning of the trading day. The findings also indicate that the ability to trade without influencing prices is 15%-25% greater for non-REITS compared to REITs, and the price of immediacy is 7% higher for REITs.
Please use this identifier to cite or link to this item: