REITs and Market Microstructure: A Comprehensive Analysis of Market Quality

Pawan Jain, Mark Sunderman and K. Janean Westby-Gibson

Journal of Real Estate Research, 2017, vol. 39, issue 1, 65-98

Abstract: In this study, we analyze the market quality differences, in terms of liquidity and volatility, between real estate investment trusts (REITs) and non-REIT common stocks. The recent financial crisis has significantly influenced the market quality for REITs. Our findings reveal intraday patterns indicating a lower liquidity, higher volatility, and greater price impact for REITs than non-REITs for the pre-crisis period. These relations reverse during the post-crisis period with REITs becoming more liquid, less volatile, and cheaper to trade than non-REITs. Further, we document that post-crisis trading interest in REITs has increased significantly as reflected by increased volume, number of trades, and number of quotes.

Date: 2017
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DOI: 10.1080/10835547.2017.12091464

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