IDEAS home Printed from https://ideas.repec.org/a/taf/rjelxx/v23y2015i2p233-252.html
   My bibliography  Save this article

The Distribution of REIT Liquidity

Author

Listed:
  • Benjamin M. Blau
  • Nga Nguyen
  • Ryan J. Whitby

Abstract

In this study, we examine the distribution of market liquidity for a broad sample of real estate investment trusts (REITs). While prior research has focused on the average liquidity of REITs, we extend our analysis to include both the variability and skewness of liquidity, both of which have important implications. Excess variability in liquidity could present future uncertainty about the level of liquidity for REIT investors, which could impact returns as well as the efficacy of investment management. Increased skewness of liquidity is indicative of increased competition among market makers, which can result in better functioning financial markets. Our multivariate tests show that, consistent with the literature, average bid-ask spreads are higher for REITs than for non-REITs. We also find that the variability of bid-ask spreads is larger for REITs than for non-REITs and that the skewness of REIT bid-ask spreads has not only increased across time, but has also increased at a greater rate than the skewness of non-REIT spreads.

Suggested Citation

  • Benjamin M. Blau & Nga Nguyen & Ryan J. Whitby, 2015. "The Distribution of REIT Liquidity," Journal of Real Estate Literature, Taylor & Francis Journals, vol. 23(2), pages 233-252, January.
    • Handle: RePEc:taf:rjelxx:v:23:y:2015:i:2:p:233-252
    DOI: 10.1080/10835547.2015.12090405
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/10835547.2015.12090405
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/10835547.2015.12090405?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:rjelxx:v:23:y:2015:i:2:p:233-252. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/rjel20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.