A Note on Changes in REIT Liquidity: The Role of 'New REITs'
12 Pages Posted: 14 Sep 2008
Date Written: February 26, 1999
Bhasin, Cole, and Kiely (1997) document significant increases in REIT liquidity from 1990 to 1994 as measured by a narrowing of the percentage bid-ask spread. However, they measure the average spread in each year across all firms in the industry. In this article, I demonstrate that when the comparison is restricted to the panel of REITs operating in both time periods (1990 and 1994) rather than to all firms, percentage spreads widened rather than narrowed. I reconcile these seemingly contradictory results by showing that the narrowing of industry-wide spreads previously reported was driven by the spreads of REITs that went public during 1991-94. Hence, I contribute to the growing number of papers that differentiate the more recently established REITs from their predecessors.
Keywords: bid-ask spread, liquidity, market microstructure, ownership structure, REIT
JEL Classification: G12, G32
Suggested Citation: Suggested Citation