Intraday REIT liquidityJournal of real estate research
Date of this Version1-1-2005
Document TypeJournal Article
AbstractThis 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 InformationWilliam 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/