Intraday REIT Liquidity

William Bertin, Paul Kofman, David Michayluk and Laurie Prather

Journal of Real Estate Research, 2005, vol. 27, issue 2, 155-176

Abstract: This study measures and analyzes the liquidity differences between Real Estate Investment Trusts (REITs) and other common stocks. The intraday variations documented in this study have implications for the appropriate timing of trades to minimize transaction costs and the substitutability of investments if illiquidity is priced. The findings 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. The findings also indicate 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.

Date: 2005
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Persistent link: https://EconPapers.repec.org/RePEc:taf:rjerxx:v:27:y:2005:i:2:p:155-176

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DOI: 10.1080/10835547.2005.12091153

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