This paper examines the link between REIT, financial asset and real estate returns, and tests whether it changed subsequent to the quot;REIT boomquot; of the early 1990s. The main focus is on answering the question do REIT returns now better reflect the performance of underlying direct...

This paper investigates changes in REIT liquidity since the REIT boom of 1993. We use trade by trade data for REITs traded on the major U.S. exchanges to estimate and compare Kyle's (1985) measure of inverse liquidity for the 1993 and 1996 time periods. For our full sample of equity REITs, there...

The effect of the move to decimalization by the Toronto Stock Exchange, where the minimum tick size was decreased to $0.05 from $0.125, is examined. Liquidity is measured by the price impact of unexpected volume. Results show an unambiguous gain to investors. Effective spreads decrease...

We examine the market for U.S. equity real estate investment trusts (REITs) for evidence of the volatility effect, in which low volatility stocks tend to outperform high volatility ones, as has been found in the general equity market by prior research. While there is some evidence of a...

This papers offers a new approach to answering the question, quot;how much of a REIT's return is driven by real estate market influences, and how much by stock and bond factors?quot; Specifically, we develop a method that allows for the decomposition of the volatility of REIT returns into stock...

This paper explores the determinants of both the level of and changes in premiums to NAV in REIT pricing over the 1996-1999 period. The first part of the paper specifies and estimates a model of cross-sectional and time variation in premiums to NAV using a sample of individual REITs. We find...

This paper examines the microstructure trading characteristics of initial public offerings underwritten by commercial banks. The degree of asymmetric information present in the market for these issues is measured by the price impact of trades and the size of the bid-ask spread. If there is more...

This paper investigates changes in REIT liquidity since the REIT boom of 1993. In contrast to previous research that investigates liquidity via the bid/ask spread, we examine the impact of trades on REIT share price movements. In the first part of the paper, we use trade by trade data for REITs...

This paper characterizes the behavior of and evaluates competing explanations for time variation in private real estate market liquidity. In the first, sellers base their estimates of value on observations of signals from the market. The second incorporates the option value of waiting or the...