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The Liquidity of Property Shares: An International Comparison
Author(s) -
Brounen Dirk,
Eichholtz Piet,
Ling David
Publication year - 2009
Publication title -
real estate economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.064
H-Index - 61
eISSN - 1540-6229
pISSN - 1080-8620
DOI - 10.1111/j.1540-6229.2009.00247.x
Subject(s) - market liquidity , real estate , liquidity crisis , liquidity premium , accounting liquidity , market capitalization , economics , monetary economics , liquidity risk , shares outstanding , dividend , value (mathematics) , business , financial economics , finance , corporate governance , paleontology , horse , stock market , biology , machine learning , computer science , shareholder
This article investigates the magnitude and determinates of share liquidity over the 1990–2007 period in the world's four largest securitized real estate markets: the United States, the United Kingdom, Continental Europe and Australia. We document a significant and consistent role for market capitalization, nonretail share ownership and dividend yield as drivers of liquidity across markets. We also document significant differences in liquidity across countries and between property and nonproperty companies. Also striking is the lack of correlation among our three measures of liquidity across property firms and time. This supports the notion that share price liquidity is multifaceted and therefore reliance on any one measure of liquidity in empirical work may produce misleading conclusions. Although we find some evidence of a connection between liquidity and firm value, it is less conclusive than prior studies.