Hoesli, Martin; Kadilli, Anjeza; Reka, Kustrim - Institut d'Economie et Econométrie, Université de Genève - 2014
We conduct an empirical investigation of the pricing and economic sources of commonality in liquidity in the U.S. REIT … market. Taking advantage of the specific characteristics of REITs, we analyze three types of commonality in liquidity: within …-asset commonality, cross-asset commonality (with the stock market), and commonality with the underlying property market. We find …