202
Views
3
CrossRef citations to date
0
Altmetric
Research Articles

Trading and Volatility in Dual Market: Theory and Evidence from Real Estate

& ORCID Icon
Pages 151-183 | Received 12 Jun 2020, Accepted 17 Mar 2021, Published online: 28 Jan 2022

References

  • Acharya, V. V., & Pedersen, L. H. (2005). Asset pricing with liquidity risk. Journal of Financial Economics, 77, 375–410. https://doi.org/10.1016/j.jfineco.2004.06.007
  • Admati, A. R., & Pfleiderer, P. (1988). A theory of intraday patterns: Volume and price variability. Review of Financial Studies, 1, 3–40. https://doi.org/10.1093/rfs/1.1.3
  • Amihud, Y., & Mendelson, H. (1991). Liquidity, maturity and the yield on U.S. treasury securities. The Journal of Finance, 46, 1411–1425. https://doi.org/10.1111/j.1540-6261.1991.tb04623.x
  • Bajaj, M., Dennis, D. J., Ferris, S. P., & Sarin, A. (2001). Firm value and marketability discounts. Journal of Corporate Law, 27, 89–115.
  • Baruch, S., Karolyi, G., & Lemmon, M. (2007). Multimarket trading and liquidity: Theory and evidence. The Journal of Finance, 62, 2169–2200. https://doi.org/10.1111/j.1540-6261.2007.01272.x
  • Beracha, E., Freybote, J., & Lin, Z. (2018). The determinants of the ex-ante risk premium in commercial real estate. Journal of Real Estate Research, 8(3), 41. https://doi.org/10.22300/0896-5803.41.3.411
  • Bond, S., & Chang, Q. (2012). Liquidity dynamics across public and private markets. Journal of International Money and Finance, 31(7), 1890–1910. https://doi.org/10.1016/j.jimonfin.2012.05.020
  • Brounen, D., & Eichholtz, P. M. A. (2003). Property, common stock, and property shares. The Journal of Portfolio Management, 29, 129–137. https://doi.org/10.3905/jpm.2003.319914
  • Brenner, M., Eldor, R., & Hauser, S. (2001). The price of option liquidity. The Journal of Finance, 26, 789–806. https://doi.org/10.1111/0022-1082.00346
  • Brunnermeier, M. K., & Pedersen, L. H. (2009). Market liquidity and funding liquidity. Review of Financial Studies, 22, 2201–2238. https://doi.org/10.1093/rfs/hhn098
  • Chen, L., Lesmond, D. A., & Wei, J. (2007). Corporate yield spreads and bond liquidity. The Journal of Finance, 62, 119–149. https://doi.org/10.1111/j.1540-6261.2007.01203.x
  • Chinloy, P., Hardin, W., III, & Wu, Z. (2013). Price, place, people and local experience. Journal of Real Estate Research, 35(4), 477–506. https://doi.org/10.1080/10835547.2013.12091376
  • Chowdhry, B., & Nanda, V. (1991). Multimarket trading and market liquidity. Review of Financial Studies, 4, 483–511. https://doi.org/10.1093/rfs/4.3.483
  • Cotter, J., & Roll, R. (2015). A comparative anatomy of residential REITs and private real estate markets: Returns, risks and distributional characteristics. Real Estate Economics, 43(1), 209–240. https://doi.org/10.1111/1540-6229.12059
  • Cox, D. R., & Peterson, D. R. (1994). Stock returns following large one-day declines: Evidence on short-term reversals and longer-term performance. The Journal of Finance, 49, 255–267. https://doi.org/10.1111/j.1540-6261.1994.tb04428.x
  • Delfim, J. C., & Hoesli, M. (2019). Robust desmoothed real estate returns [Swiss Finance Institute Research Paper Series, no. 19–32].
  • Downs, D. H., & Zhu, B. (2019). Property market liquidity and REIT liquidity [Working paper].
  • Dumas, B., & Luciano, E. (1991). An exact solution to a dynamic portfolio choice problem under transaction costs. The Journal of Finance, 46, 577–595. https://doi.org/10.1111/j.1540-6261.1991.tb02675.x
  • Fan, Y., & Yavas, A. (2020). Price dynamics in public and private commercial real estate markets. The Journal of Real Estate Finance and Economics. Advance online publication. https://doi.org/10.1007/s11146-020-09773-6
  • Fisher, J., Gatzlaff, D., Geltner, D., & Haurin, D. (2003). Controlling for the impact of variable liquidity in commercial real estate price indices. Real Estate Economics, 31(2), 269–303. https://doi.org/10.1111/1540-6229.00066
  • Garmise, M. J., & Moskowitz, T. J. (2004). Confronting information asymmetries: Evidence from real estate markets. Review of Financial Studies, 17, 405–437. https://doi.org/10.1093/rfs/hhg037
  • Geltner, D. (1993). Estimating market values from appraised values without assuming an efficient market. Journal of Real Estate Research, 8(3), 325–345.
  • French, K. R., Schwert, G. W., & Stambaugh, R. F. (1987). Expected stock returns and volatility. Journal of Financial Economics, 19(1), 3–29.
  • Karpoff, J., M. (1987). The relationship between price changes and trading volume: A survey. The Journal of Financial and Quantitative Analysis, 22, 109–124. https://doi.org/10.2307/2330874
  • Krainer, J., Spiegel, M., & Yamori, N. (2004). Asset price declines and real estate market liquidity: Evidence from Japanese land values [Working Paper]. Federal Reserve Bank of San Francisco.
  • Kyle, A. S. (1985). Continuous auctions and insider trading. Econometrica, 53, 1315–1336. https://doi.org/10.2307/1913210
  • Ling, D. C., & Naranjo, A. (2015). Returns and information transmission dynamics in public and private real estate markets. Real Estate Economics, 43(1), 163–208. https://doi.org/10.1111/1540-6229.12069
  • Ling, D. C., Naranjo, A., & Scheick, B. (2021). There's no place like home: Information asymmetries, local asset concentration, and portfolio returns. Real Estate Economics, 49(1), 36–74. https://doi.org/10.1111/1540-6229.12336
  • Liu, C. H., & Mei, J. (1992). The predictability of returns on equity REITS and their comovement with other assets. The Journal of Real Estate Finance and Economics, 5(4), 401–418. https://doi.org/10.1007/BF00174808
  • Lizieri, C., Satchell, S., & Wongwachara, W. (2012). Unsmoothing real estate returns: A regime-switching approach. Real Estate Economics, 40(4), 775–807. https://doi.org/10.1111/j.1540-6229.2012.00331.x
  • Lo, A. W., Mamaysky, H., & Wang, J. (2004). Asset prices and trading volume under fixed transaction costs. Journal of Political Economy, 112, 1054–1090. https://doi.org/10.1086/422565
  • MacKinnon, G. H., & Al Zaman, A. (2009). Real estate for the long term: The effect of return predictability on long-horizon allocations. Real Estate Economics, 37, 117–153. https://doi.org/10.1111/j.1540-6229.2009.00237.x
  • Milgrom, P., & Stokey, N. (1982). Information, trade and common knowledge. Journal of Economic Theory, 26, 17–27. https://doi.org/10.1016/0022-0531(82)90046-1
  • Okunev, J., Wilson, P., & Zurbruegg, R. (2000). The causal relationship between real estate and stock markets. The Journal of Real Estate Finance and Economics, 21(3), 251–261. https://doi.org/10.1023/A:1012051719424
  • Oikarinen, E., Hoesli, M., & Serrano, C. (2011). The long-run dynamics between direct and securitized real estate. Journal of Real Estate Research, 33(1), 73–103. https://doi.org/10.1080/10835547.2011.12091299
  • Pagliari, J. L., Jr., Scherer, K. A., & Monopoli, R. T. (2005). Public versus private real estate equities: A more refined, long-term comparison. Real Estate Economics, 33, 147–187. https://doi.org/10.1111/j.1080-8620.2005.00115.x
  • Riddiough, T. J., Moriarty, M., & Yeatman, P. J. (2005). Privately versus publicly held asset investment performance. Real Estate Economics, 33, 121–146. https://doi.org/10.1111/j.1080-8620.2005.00114.x
  • Wang, C., Cohen, J. P., & Glascock, J. L. (2018). Geographically overlapping real estate assets, liquidity spillovers, and liquidity multiplier effects [Working Paper]. University of Connecticut School of Business.
  • Williams, J. T. (1995). Pricing real assets with costly search. Review of Financial Studies, 8, 55–90. https://doi.org/10.1093/rfs/8.1.55
  • Yavas, A. (1992). Marketmakers versus matchmakers. Journal of Financial Intermediation, 2, 33–58.
  • Yavas, A., & Yildirim, Y. (2011). Price discovery in real estate markets: A dynamic analysis. The Journal of Real Estate Finance and Economics, 42, 1–29. https://doi.org/10.1007/s11146-009-9172-4
  • Yunus, N., Hansz, J. A., & Kennedy, P. (2011). Dynamic interactions between private and public real estate markets: Some international evidence. The Journal of Real Estate Finance and Economics, 45(4), 1–20.
  • Zhou, J., & Anderson, R. I. (2012). Extreme risk measures for international REIT markets. The Journal of Real Estate Finance and Economics, 45(1), 152–170. https://doi.org/10.1007/s11146-010-9252-5

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.