929
Views
8
CrossRef citations to date
0
Altmetric
Research Article

The Liquidity Risk of REITs

, &
Pages 47-95 | Received 13 Oct 2017, Accepted 26 Aug 2019, Published online: 12 Mar 2021

References

  • Ametefe, F., Devaney, S., & Marcato, G. (2016). Liquidity: A review of dimensions, causes, measures, and empirical applications in real estate markets. Journal of Real Estate Literature, 24(1), 1–29.
  • Amihud, Y. (2002). Illiquidity and stock returns: Cross-section and time-series effects. Journal of Financial Markets, 5(1), 31–56.
  • Amihud, Y., Mendelson, H., & Pedersen, L. (2005). Liquidity and asset prices. Foundations and Trends in Finance, 1(4), 269–364.
  • Asness, C. S., Moskowitz, T. S., & Pedersen, L. H. (2013). Value and momentum everywhere. Journal of Finance, 68(3), 929–985.
  • Balakrishnan, K., Billings, M. B., Kelly, B., & Ljungqvist, A. (2014). Shaping liquidity: On the causal effects of voluntary disclosure. Journal of Finance, 69(5), 2237–2278.
  • Banerjee, S., Gatchev, V. A., & Spindt, P. A. (2007). Stock market liquidity and firm dividend policy. Journal of Financial and Quantitative Analysis, 42(2), 369–397.
  • Bertin, W., Kofman, P., Michayluk, D., & Prather, L. (2005). Intraday REIT liquidity. Journal of Real Estate Research, 27(2), 155–176.
  • Blau, B. M., Nguyen, N., & Whitby, R. J. (2015). The distribution of REIT liquidity. Journal of Real Estate Literature, 23(2), 233–252.
  • Bond, S. A., Pai, Y., Wang, P., & Zheng, S. (2018). The impact of dividend reinvestment plans on firm payout choices—Evidence from real estate investment trusts. Real Estate Economics, 47(1), 178–213.
  • Boudry, W. I., Kallberg, J. G., & Liu, C. H. (2010). An analysis of REIT security issuance decisions. Real Estate Economics, 38(1), 91–120.
  • Bradley, M., Capozza, D. R., & Seguin, P. J. (1998). Dividend policy and cash-flow uncertainty. Real Estate Economics, 26(4), 555–580.
  • Brennan, M., Huh, S., & Subrahmanyam, A. (2013). An analysis of the Amihud illiquidity premium. Review of Asset Pricing Studies, 3(1), 133–176.
  • Buttimer, R. J., Hyland, D. C., & Sanders, A. B. (2005). REITs, IPO waves and long-run performance. Real Estate Economics, 33(1), 51–87.
  • Campbell, J. Y., Grossman, S. J., & Wang, J. (1993). Trading volume and serial correlation in stock returns. Quarterly Journal of Economics, 108(4), 905–939.
  • Cannon, S. E., & Cole, R. A. (2011). Changes in REIT liquidity 1988–2007: Evidence from daily data. Journal of Real Estate Finance and Economics, 43(1–2), 258–280.
  • Capozza, D. R., & Seguin, P. J. (1999). Focus, transparency and value: The REIT evidence. Real Estate Economics, 27(4), 587–619.
  • Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of Finance, 52(1), 57–82.
  • Case, B., Hardin, W. G., III., & Wu, Z. (2012). REIT dividend policies and dividend announcement effects during the 2008-2009 liquidity crisis. Real Estate Economics, 40(3), 367–421.
  • Chen, H., Downs, D. H., & Patterson, G. A. (2012). The information content of REIT short interest: Investment focus and heterogeneous beliefs. Real Estate Economics, 40(2), 249–283.
  • Chetty, R., & Saez, E. (2005). Dividend taxes and corporate behavior: Evidence from the 2003 dividend tax cut. Quarterly Journal of Economics, 120(3), 791–833.
  • Chetty, R., & Saez, E. (2006). The effects of the 2003 dividend tax cut on corporate behavior: Interpreting the evidence. American Economic Review, 96(2), 124–129.
  • Chien, Y., & Lustig, H. (2010). The market price of aggregate risk and the wealth distribution. Review of Financial Studies, 23(4), 1596–1650.
  • Chordia, T., Roll, R., & Subrahmanyam, A. (2000). Commonality in liquidity. Journal of Financial Economics, 56(1), 3–28.
  • Chordia, T., Subrahmanyam, A., & Anshuman, V. R. (2001). Trading activity and expected stock returns. Journal of Financial Economics, 59(1), 3–32.
  • Chou, W. H., Hardin, W. G., III., Hill, M. D., & Kelly, G. W. (2013). Dividends, values and agency costs in REITs. Journal of Real Estate Finance and Economics, 46(1), 91–114.
  • Clayton, J., & MacKinnon, G. (2000). Measuring and explaining changes in REIT liquidity: Moving beyond the bid–ask spread. Real Estate Economics, 28(1), 89–115.
  • Cohen, L., & Lou, D. (2012). Complicated firms. Journal of Financial Economics, 104(2), 383–400.
  • Damodaran, A., John, K., & Liu, C. H. (1997). The determinants of organizational form changes: Evidence and implications from real estate. Journal of Financial Economics, 45(2), 169–192.
  • Danielsen, B., & Harrison, D. (2000). The impact of potential private information on REIT liquidity. Journal of Real Estate Research, 19(1), 49–71.
  • Danielsen, B., & Harrison, D. (2007). The impact of property type diversification on REIT liquidity. Journal of Real Estate Portfolio Management, 13(4), 329–344.
  • Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3–56.
  • Fama, E. F., & French, K. R. (2001). Disappearing dividends: Changing firm characteristics or lower propensity to pay? Journal of Financial Economics, 60(4), 3–43.
  • Feng, Z., Ghosh, C., & Sirmans, C. F. (2007). On the capital structure of real estate investment trusts (REITs). Journal of Real Estate Finance and Economics, 34(1), 81–105.
  • Feng, Z., Price, S. M., & Sirmans, C. F. (2011). An overview of equity real estate investment trusts (REITs): 1993-2009. Journal of Real Estate Literature, 19(2), 307–343.
  • French, K. R., Schwert, G. W., & Stambaugh, R. F. (1987). Expected stock returns and volatility. Journal of Financial Economics, 19(1), 3–29.
  • Goyenko, R. Y., Holden, C. W., & Trzcinka, C. A. (2009). Do liquidity measures measure liquidity? Journal of Financial Economics, 92(2), 153–181.
  • Hardin, W. G., III., Highfield, M. J., Hill, M. D., & Kelley, W. (2009). The determinants of REIT cash holdings. Journal of Real Estate Finance and Economics, 39(1), 39–57.
  • Hardin, W. G., III., & Hill, M. D. (2008). REIT dividend determinants: Excess dividends and capital markets. Real Estate Economics, 36(2), 349–369.
  • Hardin, W. G., III., Huang, G., & Liano, K. (2012). Dividend size, yield, clienteles and REITs. Journal of Real Estate Finance and Economics, 45(2), 435–449.
  • Hardin, W. G., III., Liano, K., & Huang, G. (2002). The ex-dividend pricing of REITs. Real Estate Economics, 30(4), 533–549.
  • Hardin, W. G., III., Liano, K., Huang, G., & Nagel, G. L. (2007). REITs, decimalization, and ex-dividend stock prices. Journal of Real Estate Finance and Economics, 34(4), 499–511.
  • Harrison, D. M., Panasian, C. A., & Seiler, M. J. (2011). Further evidence on the capital structure of REITs. Real Estate Economics, 39(1), 133–166.
  • Healy, P. M., & Palepu, K. G. (1988). Earnings information conveyed by dividend initiations and omissions. Journal of Financial Economics, 21(2), 149–175.
  • Hoesli, M., Kadilli, A., & Reka, K. (2017). Commonality in liquidity and real estate securities. Journal of Real Estate Finance and Economics, 55(1), 65–105.
  • Johnson, T. C. (2008). Volume, liquidity, and liquidity risk. Journal of Financial Economics, 87(2), 388–417.
  • Kaplan, S. N., & Zingales, L. (2000). Investment cash-flow sensitivities are not valid measures of financing constraints. Quarterly Journal of Economics, 115(2), 707–712.
  • Lang, M., & Maffett, M. (2011). Transparency and liquidity uncertainty in crisis periods. Journal of Accounting and Economics, 52(2), 101–125.
  • Lee, C. F., & Kau, J. B. (1987). Dividend payment behavior and dividend policy on REITs. Quarterly Review of Economics and Business, 27(2), 6–21.
  • Li, H., Wang, J., Wu, C., & He, Y. (2009). Are liquidity and information risks priced in the treasury bond market? Journal of Finance, 64(1), 467–503.
  • Lin, H., Wang, J., & Wu, C. (2011). Liquidity risk and expected corporate bond returns. Journal of Financial Economics, 99(3), 628–650.
  • Maris, B. A., & Elayan, F. A. (1991). A test for tax-induced investor clienteles in real estate investment trusts. Journal of Real Estate Research, 6(2), 169–178.
  • Miller, M. H., & Modigliani, F. (1961). Dividend policy, growth, and the valuation of shares. Journal of Business, 34(4), 411–433.
  • Newey, W. K., & West, K. D. (1987). A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica, 55(3), 703–708.
  • Ott, S. H., Riddiough, T. J., & Yi, H. C. (2005). Finance, investment and investment performance: Evidence from the REIT sector. Real Estate Economics, 33(1), 203–235.
  • Pástor, L., & Stambaugh, R. F. (2003). Liquidity risk and expected stock returns. Journal of Political Economy, 111(3), 642–685.
  • Petersen, M. A. (2009). Estimating standard errors in finance panel data sets: Comparing approaches. Review of Financial Studies, 22(1), 435–480.
  • Sadka, R. (2006). Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk. Journal of Financial Economics, 80(2), 309–349.
  • Subrahmanyam, A. (2007). Liquidity, return and order‐flow linkages between REITs and the stock market. Real Estate Economics, 35(3), 383–408.
  • Wang, K., Erickson, J., & Gau, G. W. (1993). Dividend policies and dividend announcement effects for real estate investment trusts. Real Estate Economics, 21(2), 185–201.
  • Watanabe, A., & Watanabe, M. (2008). Time-Varying liquidity risk and the cross section of stock returns. Review of Financial Studies, 21(6), 2449–2486.
  • Whitworth, J., & Carter, D. A. (2010). The ex-day price behavior of REITs: Taxes or ticks? Real Estate Economics, 38(4), 733–752.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.