Real Estate Illiquidity and Returns: A Time-varying Regional Perspective
27 Pages Posted: 13 Jun 2019 Last revised: 10 Sep 2021
Date Written: April 22, 2020
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: Suggested Citation