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 …

highlights the importance of liquidity spirals that arise from the interaction of search frictions and endogenous credit …

When liquidity providers for one asset obtain information from other asset prices, this may magnify the (upward or … downward) comovement of asset liquidity. It also may yield an illiquidity multiplier. We empirically test the magnitude of this … find significant liquidity spillovers among REITs with geographically overlapping real estate holdings. Our findings …

prices and take advantage of it. Our final tests show that they alter the liquidity of their holdings when doing so may help …