Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/287090 
Year of Publication: 
2021
Citation: 
[Journal:] Financial Markets and Portfolio Management [ISSN:] 2373-8529 [Volume:] 36 [Issue:] 2 [Publisher:] Springer US [Place:] New York, NY [Year:] 2021 [Pages:] 203-260
Publisher: 
Springer US, New York, NY
Abstract: 
In this study, we analyze illiquidity premia and their effect on the expected returns of German real estate securities. To this end, we use a unique data set that includes real estate stocks, real estate investment trusts (REITs), and open- and closed-end real estate funds for 2003–2017. We follow Amihud's (JFM 5:31–56, 2002) structural approach; specifically, 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. We show that illiquidity plays an important role in expected returns for real estate stocks and investment trusts (REITs); however, it has less clear effects on open- and closed-end funds. We find that the adjusted ILLIQ includes appropriate correction factors for securities with low trading activity and is a useful improvement. We also find evidence of structural breaks in the relationship between returns and illiquidity.
Subjects: 
Asset pricing
Real estate
REITs
Risk-factors
Illiquidity
JEL: 
G11
G12
G14
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
Document Version: 
Published Version

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