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 illiquidity multiplier for a sample of U.S. equity...

We examine property sell-offs by real estate investment trusts (REITs) and find that investors respond favorably to sales of properties located close to a sell-off firm's headquarters. The negative relationship between the distance from headquarters and cumulative abnormal returns (CARs) that we...

This is the first paper to examine the transmission of an asset market shock to the capital markets during the COVID-19 pandemic. Using a novel measure of the exposure of commercial real estate portfolios (CRE) to the growth in COVID-19 (GeoCOVID), we find a one-standard-deviation increase in...

This paper contributes to the ongoing debate about whether and how institutional common ownership (ICO) affects firm behavior. Using a sample of equity REITs, which provide significant advantages for isolating a monitoring channel, we find a robust and positive relation between ICO and REIT firm...

Using a sample of Real Estate Investment Trusts (REITs), we show that institutional investors exploit location-based information asymmetries by overweighting firms headquartered locally and, more importantly, those with greater economic interests in the investor's home MSA. Moreover, this asset...