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The Liquidity of Property Shares: An International Comparison

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  • Dirk Brounen
  • Piet Eichholtz
  • David Ling

Abstract

This 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.

Suggested Citation

  • Dirk Brounen & Piet Eichholtz & David Ling, 2009. "The Liquidity of Property Shares: An International Comparison," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 37(3), pages 413-445.
  • Handle: RePEc:bla:reesec:v:37:y:2009:i:3:p:413-445
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    References listed on IDEAS

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    Cited by:

    1. Denis Schweizer & Lars Haß & Lutz Johanning & Bernd Rudolph, 2013. "Do Alternative Real Estate Investment Vehicles Add Value to REITs? Evidence from German Open-ended Property Funds," The Journal of Real Estate Finance and Economics, Springer, vol. 47(1), pages 65-82, July.
    2. repec:kap:jrefec:v:55:y:2017:i:1:d:10.1007_s11146-016-9554-3 is not listed on IDEAS
    3. 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.
    4. Jaakko Niskanen & Heidi Falkenbach, 2011. "Liquidity of European real estate equities: REITs and REOCs," International Journal of Strategic Property Management, Taylor & Francis Journals, vol. 16(2), pages 173-187, May.
    5. 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.
    6. repec:eee:quaeco:v:67:y:2018:i:c:p:100-112 is not listed on IDEAS
    7. Giovanni Tira & Tommaso Gabrieli & Gianluca Marcato, 2011. "Liquidity Black Hole and Optimal Behavioral," ERES eres2011_116, European Real Estate Society (ERES).
    8. Cheung, William Mingyan & Chung, Richard & Fung, Scott, 2015. "The effects of stock liquidity on firm value and corporate governance: Endogeneity and the REIT experiment," Journal of Corporate Finance, Elsevier, vol. 35(C), pages 211-231.

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