Similar Search Results

The liquidity crisis, investor sentiment, and REIT returns and volatility

Huerta, Daniel; Egly, Peter V.; Escobari, Diego - 2015 - Version: November 2015

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 …

Persistent link: https://www.econbiz.de/10011402963

Liquidity Dynamics in Commercial Real Estate

Buckles, Brian W. - 2009

This paper examines private real estate market liquidity dynamics using the recently introduced family of Transactions …-Based Indices (TBIs) calculated from the NCREIF database. The paper derives a Liquidity Index from a combination of the TBI Price … Index and the TBI Supply Index. Liquidity in the private real estate market is shown to comprise more than the traditional …

Persistent link: https://www.econbiz.de/10013155288

The cyclical dynamics of illiquid housing, debt, and foreclosures

Hedlund, Aaron - In: Quantitative economics : QE ; journal of the … 7 (2016) 1, pp. 289-328

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

Persistent link: https://www.econbiz.de/10011798986

Empirical Evidence on the Ownership and Liquidity of Real Estate Tokens

Swinkels, Laurens - 2022

Empirical studies on the tokenization of real asset markets are necessary to better understand the potential and limitations of this radically new organization of financial markets. We examine the financial economic consequences of the tokenization of 58 residential rental properties in the...

Persistent link: https://www.econbiz.de/10013313529

Contagious mortgage default

Børsum, Øystein - 2010

This paper analyses the default option typical to American mortgages. Households borrow to buy durable housing, but future house prices are uncertain, and households find it dvantageous to default on their debt if house prices fall sufficiently. A key assumption of the model is that households...

Persistent link: https://www.econbiz.de/10003991972

The Geography of Housing Market Liquidity During the Great Recession

Famiglietti, Matthew - 2020

, often referred to as housing liquidity, is an important link that connects housing outcomes with real and credit variables … with the behavior of the housing market. The deterioration in housing liquidity was uniform across all house price tiers (i … housing liquidity and the severity of the deterioration in house prices and macroeconomic conditions …

Persistent link: https://www.econbiz.de/10012835596

Geographically Overlapping Real Estate Assets, Liquidity Spillovers, and Liquidity Multiplier Effects

Wang, Chongyu - 2018

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 …

Persistent link: https://www.econbiz.de/10012923010

Global securitized real estate benchmarks and performance

Serrano, Camilo; Hoesli, Martin - 2008

Choosing an appropriate benchmark is not unproblematic for academics or practitioners. Index construction methodologies vary from index to index as tradeoffs are made between the breadth of market coverage and the investability of the securities in the index. This paper examines the nuances...

Persistent link: https://www.econbiz.de/10003966179

Are REITs real estate? : evidence from international sector level data

Hoesli, Martin; Oikarinen, Elias - 2012

The aim of this study is to examine whether securitized real estate returns reflect direct real estate returns or general stock market returns using international data for the U.S., U.K., and Australia. In contrast to previous research, which has generally relied on overall real estate market...

Persistent link: https://www.econbiz.de/10009558452

The effect of lock-ups on the suggested real estate portfolio weight

Hoesli, Martin; Liljeblom, Eva; Löflund, Anders - 2012

We test relative illiquidity, exemplified through a temporary lock-up, as a partial explanation for the gap between theoretical and empirical weights for real estate in a multi-asset portfolio. Since asset correlations are known to increase in bear markets, reducing their diversification...

Persistent link: https://www.econbiz.de/10009558460