The Liquidity of Property Shares: An International Comparison
AbstractThis article investigates the magnitude and determinates of share liquidity over the 1990-2007 period in the world's four largest securitized real estate markets: the United States, the United Kingdom, Continental Europe and Australia. We document a significant and consistent role for market capitalization, nonretail share ownership and dividend yield as drivers of liquidity across markets. We also document significant differences in liquidity across countries and between property and nonproperty companies. Also striking is the lack of correlation among our three measures of liquidity across property firms and time. This supports the notion that share price liquidity is multifaceted and therefore reliance on any one measure of liquidity in empirical work may produce misleading conclusions. Although we find some evidence of a connection between liquidity and firm value, it is less conclusive than prior studies. Copyright (c) 2009 American Real Estate and Urban Economics Association.
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Bibliographic InfoArticle provided by American Real Estate and Urban Economics Association in its journal Real Estate Economics.
Volume (Year): 37 (2009)
Issue (Month): 3 ()
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- Susanne Cannon & Rebel Cole, 2011.
"Changes in REIT Liquidity 1988–2007: Evidence from Daily Data,"
The Journal of Real Estate Finance and Economics,
Springer, vol. 43(1), pages 258-280, July.
- Cannon, Susanne E. & Cole, Rebel A., 2008. "Changes in REIT liquidity 1988 - 2007: Evidence from daily data," MPRA Paper 24694, University Library of Munich, Germany, revised 20 Aug 2010.
- Bond, Shaun A. & Chang, Qingqing, 2012. "Liquidity dynamics across public and private markets," Journal of International Money and Finance, Elsevier, vol. 31(7), pages 1890-1910.
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