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Article
Intraday REIT liquidity
Journal of real estate research
  • William J Bertin, Bond University
  • Paul Kofman
  • David Michayluk
  • Laurie Prather, Bond University
Date of this Version
1-1-2005
Document Type
Journal Article
Publication Details
Published Version.

Bertin, W., Kofman, P., Michayluk, D. & Prather, L. (2005). Intraday REIT liquidity. Journal of real estate research, 27(2), 155-176.

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© Copyright American Real Estate Society, 2005
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.
Citation Information
William J Bertin, Paul Kofman, David Michayluk and Laurie Prather. "Intraday REIT liquidity" Journal of real estate research Vol. 27 Iss. 2 (2005) p. 155 - 176
Available at: http://works.bepress.com/will_bertin/6/