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Liquidity Of Property Shares: A Second Look Across Countries

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  • Dirk Brounen
  • Piet Eichholtz

Abstract

This paper investigates liquidity differences between property shares and common stocks in Australia, the United Kingdom and the United States over the period 1990-2004. This paper is first to analyze liquidity by the use of trading velocity, a ratio which measures the actual traded portion of the shares outstanding. Controlling for share price, market capitalization, analyst coverage, return volatility, free float and ownership level, we document significant and periodic differences in liquidity between the two asset types across all markets, as measured by trading velocity. Although listed real estate shares have evolved from small-cap funds into large mid-cap funds over the last fifteen years, when measured by market capitalization, their trading volumes still look more alike small-cap firms. Furthermore, across markets and time, a stockís share price is found to be significantly inversely related to liquidity, whereas its market capitalization and analyst coverage exhibit positive relationships with liquidity.

Suggested Citation

  • Dirk Brounen & Piet Eichholtz, 2006. "Liquidity Of Property Shares: A Second Look Across Countries," ERES eres2006_139, European Real Estate Society (ERES).
    • Handle: RePEc:arz:wpaper:eres2006_139
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    More about this item

    JEL classification:

    • R3 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location

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