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 …

of lenders to enter the market to provide liquidity and additional capital. These nonbank financial institutions and …

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 …

The real estate investment trust (REIT) industry experienced a liquidity crisis resulting from reduced access to credit … autoregressive conditional heteroscedasticity (GARCH) models we examine the impact of the liquidity crisis and investor sentiment on … REIT returns and volatility over the sample period from December 2001 to February 2013. We find that the liquidity crisis …

The study investigates the impact of financial distress (credit spread) and liquidity crises (TED spread) on size … to establish the long/short-run impact of financial distress and liquidity crisis on these premiums during recessionary … liquidity crisis. On the other hand, size, value and investment premiums rise with financial distress/liquidity crisis, only …