In this research, we investigate the effects of changes in and levels of selected macroeconomic variables on the liquidity of Real Estate Investment Trust (REIT, henceforth) stocks. We study in particular REIT market trading liquidity and REIT funding liquidity. We use debt service coverage...

The traditional modern portfolio model posits that return is a function of beta - the stocks's sensitivity to market movements. However, much research suggests that on an empirical basis this expectation does not hold. Pettengill, Sundaram and Mathur (1995) {PSM} suggest that the problem is that...