Empirical Analysis of the Illiquidity Premia of German Real Estate Securities
Type
working paper
Date Issued
2020
Author(s)
Abstract
In this study, we are the first to analyze the illiquidity premia and their effect on the expected returns of German real estate securities. We show that illiquidity plays an important role in expected returns for real estate stocks and investment trusts (REITs), but have less clear effects on open- and closed-end funds. We also find that evidence of structural breaks in the relation between returns and illiquidity. We use a unique data set which includes real estate stocks, REITs, and open- and closed-end real estate funds for 2003 to 2017, and follow Amihud’s (2002) structural approach. We estimate Amihud's illiquidity factors, investigate the relationships between expected returns and illiquidity, and analyze the effects of expected and unexpected market illiquidity on future returns.
Language
English
HSG Classification
contribution to scientific community
HSG Profile Area
SOF - System-wide Risk in the Financial System
Subject(s)
Division(s)
Eprints ID
261103