Real Estate Illiquidity and Returns: A Time-varying Regional Perspective

27 Pages Posted: 13 Jun 2019 Last revised: 10 Sep 2021

See all articles by Michael Ellington

Michael Ellington

University of Liverpool

Xi Fu

University of Liverpool

Yunyi

University of Liverpool

Date Written: April 22, 2020

Abstract

This paper proposes two new measures of illiquidity for real estate markets utilising concepts
from asset pricing. Segregating real estate through a regional lens, we provide an in-depth
analysis of real estate returns and illiquidity for the US and UK. Our results provide statistically
significant and economically meaningful evidence that real estate illiquidity predicts
real estate returns out-of-sample over and above a variety of control variables.

Keywords: Real Estate, Liquidity, Forecasting, Time-Varying Parameter VAR.

JEL Classification: G12, G11, C58, R31

Suggested Citation

Ellington, Michael and Fu, Xi and Zhu, Yunyi, Real Estate Illiquidity and Returns: A Time-varying Regional Perspective (April 22, 2020). International Journal of Forecasting, Forthcoming, Available at SSRN: https://ssrn.com/abstract=3396571 or http://dx.doi.org/10.2139/ssrn.3396571

Michael Ellington (Contact Author)

University of Liverpool ( email )

Chatham Street
Liverpool, L69 7ZA
United Kingdom

Xi Fu

University of Liverpool ( email )

Chatham Street
Liverpool, L69 7ZA
United Kingdom

Yunyi Zhu

University of Liverpool ( email )

Chatham Street
Liverpool, L69 7ZA
United Kingdom

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