Abstract

http://ssrn.com/abstract=2434072
 


 



Commonality in Liquidity and Real Estate Securities


Martin Hoesli


University of Geneva - Graduate School of Business (HEC-Geneva); University of Aberdeen - Business School; Swiss Finance Institute

Anjeza Kadilli


University of Geneva, School of Economics and Management

Reka Kustrim


University of Geneva

May 5, 2014

Swiss Finance Institute Research Paper No. 14-30

Abstract:     
We conduct an empirical investigation of the pricing and economic sources of commonality in liquidity in the U.S. REIT market. Taking advantage of the specific characteristics of REITs, we analyze 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 are priced in 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 explains (at least partly) the small impact of commonality on asset prices documented in the extant literature. Finally, our analysis of the determinants of commonality in liquidity favors a demand-side explanation.

Number of Pages in PDF File: 46

Keywords: Real Estate Securities; REITs; Commonality in Liquidity; Liquidity Risk; Asset Pricing; Threshold Regression; Panel Data

JEL Classification: G12; G01; G02

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Date posted: May 10, 2014  

Suggested Citation

Hoesli, Martin and Kadilli, Anjeza and Kustrim, Reka, Commonality in Liquidity and Real Estate Securities (May 5, 2014). Swiss Finance Institute Research Paper No. 14-30. Available at SSRN: http://ssrn.com/abstract=2434072 or http://dx.doi.org/10.2139/ssrn.2434072

Contact Information

Martin Edward Ralph Hoesli
University of Geneva - Graduate School of Business (HEC-Geneva) ( email )
40 Boulevard du Pont d'Arve
Geneva 4, 1211
Switzerland
+41 22 379 8122 (Phone)
+41 22 379 8104 (Fax)
University of Aberdeen - Business School ( email )
Edward Wright Building
Dunbar Street
Aberdeen, Scotland AB24 3QY
United Kingdom
+41 22 379 8122 (Phone)
+41 22 379 8104 (Fax)
Swiss Finance Institute ( email )
c/o University of Geneve
40, Bd du Pont-d'Arve
1211 Geneva, CH-6900
Switzerland

Anjeza Kadilli
University of Geneva, School of Economics and Management ( email )
40 bd du Pont-d'Arve
Geneva 4, CH-1211
Switzerland
0041 22 379 82 75 (Phone)
0041 22 379 82 93 (Fax)
HOME PAGE: http://www.unige.ch/ses/dsec/staff/assistants/Kadilli-Anjeza.html
Reka Kustrim (Contact Author)
University of Geneva ( email )
102 Bd Carl-Vogt
Genève, CH - 1205
Switzerland
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