Liquidity review: dimensions, causes, measures and empirical applications in real estate markets

Ametefe, F., Devaney, S. ORCID: https://orcid.org/0000-0002-1916-2558 and Marcato, G. ORCID: https://orcid.org/0000-0002-6266-4676 (2016) Liquidity review: dimensions, causes, measures and empirical applications in real estate markets. Journal of Real Estate Literature, 24 (1). pp. 1-29. ISSN 0927-7544

Abstract/Summary

Liquidity is a fundamentally important facet of investments, but there is no single measure that quantifies it perfectly. Instead, a range of measures are necessary to capture different dimensions of liquidity such as the breadth and depth of markets, the costs of transacting, the speed with which transactions can occur and the resilience of prices to trading activity. This article considers how different dimensions have been measured in financial markets and for various forms of real estate investment. The purpose of this exercise is to establish the range of liquidity measures that could be used for real estate investments before considering which measures and questions have been investigated so far. Most measures reviewed here are applicable to public real estate, but not all can be applied to private real estate assets or funds. Use of a broader range of liquidity measures could help real estate researchers tackle issues such as quantification of illiquidity premiums for the real estate asset class or different types of real estate, and how liquidity differences might be incorporated into portfolio allocation models.

Item Type	Article
URI	https://reading-clone.eprints-hosting.org/id/eprint/55691
Refereed	Yes
Divisions	Henley Business School > Real Estate and Planning Henley Business School > Finance and Accounting
Publisher	American Real Estate Society
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