Intraday REIT liquidity

Bertin, W; Kofman, P; Michayluk, D; Prather, L

Intraday REIT liquidity

Bertin, W Kofman, P Michayluk, D

Prather, L

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Publication Type:: Journal Article
Citation:: Journal of Real Estate Research, 2005, 27 (2), pp. 155 - 176
Issue Date:: 2005-04-01

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Field	Value	Language
dc.contributor.author	Bertin, W	en_US
dc.contributor.author	Kofman, P	en_US
dc.contributor.author	Michayluk, D https://orcid.org/0000-0001-9020-0855	en_US
dc.contributor.author	Prather, L	en_US
dc.date.issued	2005-04-01	en_US
dc.identifier.citation	Journal of Real Estate Research, 2005, 27 (2), pp. 155 - 176	en_US
dc.identifier.issn	0896-5803	en_US
dc.identifier.uri	http://hdl.handle.net/10453/5329
dc.description.abstract	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.	en_US
dc.relation.ispartof	Journal of Real Estate Research	en_US
dc.subject.classification	Finance	en_US
dc.title	Intraday REIT liquidity	en_US
dc.type	Journal Article
utslib.citation.volume	2	en_US
utslib.citation.volume	27	en_US
utslib.for	1504 Commercial Services	en_US
utslib.for	1402 Applied Economics	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Finance Discipline
utslib.copyright.status	closed_access
pubs.issue	2	en_US
pubs.publication-status	Published	en_US
pubs.volume	27	en_US

Abstract:

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:

http://hdl.handle.net/10453/5329