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Real estate illiquidity and returns: A time-varying regional perspective

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  • Ellington, Michael
  • Fu, Xi
  • Zhu, Yunyi

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.

Suggested Citation

  • Ellington, Michael & Fu, Xi & Zhu, Yunyi, 2023. "Real estate illiquidity and returns: A time-varying regional perspective," International Journal of Forecasting, Elsevier, vol. 39(1), pages 58-72.
    • Handle: RePEc:eee:intfor:v:39:y:2023:i:1:p:58-72
    DOI: 10.1016/j.ijforecast.2021.08.005
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    References listed on IDEAS

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