EconPapers    
Economics at your fingertips  
 

Liquidity Pricing of Illiquid Assets

Gianluca Marcato

ERES from European Real Estate Society (ERES)

Abstract: So far the main body of the asset pricing literature has computed liquidity risk premia for either markets or single assets. The vast majority of these studies have been focused on fairly liquid assets, but recently a greater attempt to price such an important component of asset pricing factors in markets with high illiquidity (especially in real estate) has also started to take place.The present paper brings these recent studies together, and estimates the liquidity premium of an illiquid asset (real estate) looking at three main aspects – time on market, liquidation bias and market liquidity – and using three main empirical models and several liquidity measures suggested in the literature. We find strong evidence of a high premium of around 3.0-3.5% that varies across sectors and periods. This estimation is robust to different measures of liquidity and model specifications.

Keywords: Asset Pricing; Liquidity; Real Estate; Risk Premium (search for similar items in EconPapers)
JEL-codes: R3 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mst
Date: 2018-01-01
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://eres.architexturez.net/doc/oai-eres-id-eres2018-215 (text/html)
https://eres.architexturez.net/system/files/P_20180131145000_1080.pdf (application/pdf)

Related works:
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: https://EconPapers.repec.org/RePEc:arz:wpaper:eres2018_215

Access Statistics for this paper

More papers in ERES from European Real Estate Society (ERES) Contact information at EDIRC.
Bibliographic data for series maintained by Architexturez Imprints ().

 
Page updated 2019-10-16
Handle: RePEc:arz:wpaper:eres2018_215