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Intraday REIT Liquidity

Listed author(s):
  • William Bertin


    (Department of Finance, School of Business, Bond University, Gold Coast, QLD, Australia 4229, Author-Workplace-Homepage:)

  • Paul Kofman


    (Department of Finance, Faculty of Economics and Commerce, The University of Melbourne, Parkville, Victoria 3010, Australia)

  • Professor David Michayluk


    (College of Business Administration, 206 Ballentine Hall, University of Rhode Island, Kingston, RI 02818)

  • Laurie Prather


    (Department of Finance, School of Business, Bond University, Gold Coast, QLD, Australia 4229)

Real Estate Investment Trusts (REITs) may be classified as a real estate investment or more generally as an equity investment. While REITs are more liquid than direct real estate investments, the liquidity relationship between REITs and common stocks is less clear-cut. This study measures and analyzes the liquidity differences between REITs and other common stocks. The intraday variations documented in this study have implications for: 1) the appropriate timing of trades to minimize transaction costs and, 2) the substitutability of investments if illiquidity is priced. Our results reveal intraday patterns indicating lower liquidity for REITs than for common stocks when the liquidity measure is friction-based. In contrast, activity measures exhibit higher liquidity levels for REITs than for common stocks but this difference is only statistically significant at the beginning of the trading day. Finally, from an economic perspective we find that the ability to trade without influencing prices is 15-25% greater for non-REITS compared to REITs, and the price of immediacy is 7% higher for REITs.

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Article provided by American Real Estate Society in its journal journal of Real Estate Research.

Volume (Year): 27 (2005)
Issue (Month): 2 ()
Pages: 155-176

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Handle: RePEc:jre:issued:v:27:n:2:2005:p:155-176
Contact details of provider: Postal:
American Real Estate Society Clemson University School of Business & Behavioral Science Department of Finance 401 Sirrine Hall Clemson, SC 29634-1323

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Order Information: Postal: Diane Quarles American Real Estate Society Manager of Member Services Clemson University Box 341323 Clemson, SC 29634-1323
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