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 …

liquidity of REIT stocks. We study in particular REIT market trading liquidity and REIT funding liquidity. We use debt service … coverage ratios, loan-to-value ratios and the number of loans on commercial commitments as proxies for the funding liquidity of … REITs. We use Amihud Illiquidity measurement and Turnover Ratio measurement to estimate REIT market trading liquidity. Our …

commercial real estate setting, where (il)liquidity is a defining characteristic of the asset class. Empirical tests confirm the … estate asset returns, and pro-cyclical liquidity variation in private real estate markets …

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 … evidence that the three types of commonality in liquidity are priced in REIT returns but only during bad market conditions. We …

two factors. The Liquidity Crisis of 2007 had increased the integration of the European and North American real estate …

in foreign investments are motivated by foreign investors seeking liquidity by switching their real estate investments to … REITs. The liquidity benefit associated with a REIT regime is also supported by evidence of reduced stock market volatility …