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

Michael Ellington, Xi Fu and Yunyi Zhu

International Journal of Forecasting, 2023, vol. 39, issue 1, 58-72

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.

Keywords: Real estate; Liquidity; Forecasting; Time-varying parameter VAR; Network connections (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfor:v:39:y:2023:i:1:p:58-72

DOI: 10.1016/j.ijforecast.2021.08.005

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