This paper proposes two new measures of illiquidity for real estate markets utilising concepts from asset pricing …. Segregating real estate through a regional lens, we provide an in-depth analysis of real estate returns and illiquidity for the US … and UK using time-varying parameter VAR models. Density forecasts show real estate illiquidity holds prominent predictive …

Investment in thinly-traded private assets involves liquidity risk. Existing literature provides limited guidance as it … quantifying liquidity risk of private assets. Using commercial real estate as a model asset and under reasonable assumptions, we … find that the magnitude of liquidity risk is too large to be ignored, especially in down markets when liquidity risk is a …