Changes in REIT Liquidity 1990-1994: Evidence from Intra-day Transactions

Vijay Bhasin (), Rebel A. Cole () and Joseph K. Kiely

Real Estate Economics, 1997, vol. 25, issue 4, pages 615-630

Abstract: This study uses data on intra-day transactions to analyze whether real estate investment (REIT) liquidity as measured by the bid-ask spread changed from 1990 to 1994, a period during which the industry's market capitalization increased from $8.7 billion to $45 billion. REIT percentage spreads (spread as percentage of share price) narrowed significantly, primarily attributable to higher share prices rather than narrower dollar-value spreads. An empirical model is used to analyze the determinants of percentage spreads. Return variance and share price, not market capitalization are found to be the primary determinants of percentage spreads in both periods. This suggests that the liquidity of REIT securities is similar to that of non-REIT securities with similar prices and return variance. In addition, percentage spreads are wider for REITs trading on the NASDAQ. Copyright American Real Estate and Urban Economics Association.

Date: 1997

Downloads: (external link)
http://www.blackwell-synergy.com/doi/abs/10.1111/1540-6229.00730 link to full text (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Changes in REIT liquidity 1990-94: evidence from intra-day transactions (1996)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:bla:reesec:v:25:y:1997:i:4:p:615-630

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=1080-8620

Access Statistics for this article

Real Estate Economics is edited by Crocker Liu, N. Edward Coulson and Walter Torous

More articles in Real Estate Economics from American Real Estate and Urban Economics Association
Series data maintained by Christopher F. Baum ().