This research studies the effects of macroeconomic factors on liquidity, focusing on the pricing of liquidity. By applying cross-sectional tests, we obtain the monthly price of liquidity. Overall, the results show that the growth rate in industrial production has significant contemporaneous...

We examine REIT behavior around extreme market-wide price occurrences. In general, we find that REITs that have higher levels of liquidity and that are larger in size tend to impound information more quickly and reverse more speedily after an extreme event. Also, we find that Equity REITs have...

Recent literature has shown that liquidity is important in explaining price effects for firms and firm decisions. For example, see Morellec (2001) and Bharath et al (2009). We follow and extend that literature by looking at the liquidity of market based options to forecast REIT capital structure...

The traditional modern portfolio model posits that return is a function of beta—the stock'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...

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...

We create market-based measures from options data to predict changes in REIT capital structure. REIT capital structure differs from that of typical listed firms: REITs have high leverage ratios of about 50 percent, their use of short-term debt is higher and more volatile, and debt issuance and...

We investigate the price behavior of stock market portfolios sorted by liquidity and/or size surrounding strong market events. Our sample includes 74 events that represent return movements for the market that are +/- 4.5 standard deviations from average returns. None of these market events are...

We examine REIT behavior around extreme market price occurrences. In general, we find that REITs that have higher liquidity and are larger in size tend to impound information more quickly and reverse more speedily after an extreme event. Also, we find that Equity REITs have stronger liquidity...