Volume
27,
Number 2, 2005 of the Journal of Real Estate Research
Intraday REIT
Liquidity
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Professor William Bertin
Department of Finance, School of Business
Bond University
Gold Coast, QLD
Australia 4229
E-mail:
wbertin@bond.edu.au
|
Professor
Paul Kofman
Department of Finance
Faculty of Economics and Commerce
The University of Melbourne
Parkville, Victoria 3010, Australia
E-mail:
pkofman@unimelb.edu.au |
|
Professor
David Michayluk*
College of Business Administration
206 Ballentine Hall
University of Rhode Island
Kingston, RI 02818
E-mail:
dave@uri.edu
*Corresponding author |
Professor
Laurie Prather
Department of Finance
School of Business
Bond University
Gold Coast, QLD
Australia 4229
E-mail:
lprather@bond.edu.au
|
Abstract: This study
measures and analyzes the liquidity differences between Real Estate
Investment Trusts (REITs) and other common stocks. The intraday
variations documented in this study have implications for the
appropriate timing of trades to minimize transaction costs and the
substitutability of investments if illiquidity is priced. The findings
reveal intraday patterns indicating lower liquidity for REITs than for
common stocks when the liquidity measure is friction-based. In contrast,
activity measures exhibit higher liquidity levels for REITs than for
common stocks but this difference is only statistically significant at
the beginning of the trading day. The findings also indicate that the
ability to trade without influencing prices is 15%–25% greater for non-REITS
compared to REITs, and the price of immediacy is 7% higher for REITs.
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