The Distribution of REIT Liquidity

34 Pages Posted: 5 Jun 2013 Last revised: 1 Feb 2016

See all articles by Benjamin M. Blau

Benjamin M. Blau

Utah State University - Huntsman School of Business

Nga Nguyen

Marquette University

Ryan J. Whitby

Utah State University - Huntsman School of Business

Date Written: June 4, 2013

Abstract

In this study, we examine the distribution of market liquidity for a broad sample of Real Estate Investment Trusts (REITs). While prior research has focused on the average liquidity of REITs, we extend our analysis to include both the variability and skewness of liquidity, both of which have important implications. In extreme cases, excess variability in liquidity could present future uncertainty about the level of liquidity for REIT investors and the increased skewness of liquidity is indicative of increased competition among market makers. Our multivariate tests show that, consistent with prior literature, average bid-ask spreads are higher for the REITs than for non-REITs. We also find that the variability of bid-ask spreads is larger for REITs than for non-REITs. In addition, we find that the skewness of REIT bid-ask spreads has not only increased across time, but has also increased at a greater rate than the skewness of non-REIT spreads.

Keywords: REITs, Liquidity

Suggested Citation

Blau, Benjamin M. and Nguyen, Nga and Whitby, Ryan J., The Distribution of REIT Liquidity (June 4, 2013). Journal of Real Estate Literature, Vol. 23, No. 2, 2015. Available at SSRN: https://ssrn.com/abstract=2274391 or http://dx.doi.org/10.2139/ssrn.2274391

Benjamin M. Blau (Contact Author)

Utah State University - Huntsman School of Business ( email )

3500 Old Main Hill
Logan, UT 84322
United States

Nga Nguyen

Marquette University ( email )

P.O. Box 1881
Milwaukee, WI 53201-1881
United States

Ryan J. Whitby

Utah State University - Huntsman School of Business ( email )

3500 Old Main Hill
Logan, UT 84322-3500
United States
435.797.9495 (Phone)

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