پویایی های نقدینگی در سراسر بازارهای دولتب و خصوصی

In this paper we investigate cross-asset liquidity between equity markets and REITs and between REITs and private real estate markets. While many studies have investigated REIT liquidity, and there is an emerging interest in liquidity in the private real estate markets, there appears to be little knowledge of the dynamics of cross-market liquidity. We find lower levels of liquidity for REITs compared to a set of control firms matched on size and book-to-market ratios. Commonality in liquidity is also lower for REITs than the controls and the overall market. However, we do find an important difference in share turnover for REITs, which appears to have a higher level of commonality than found in other studies. We suggest that this may be due to the financial crisis. Additionally we find evidence of similar time-series variation in liquidity for public and private real estate markets. We also find significant directional causality for most liquidity proxies from the public to private real estate markets. Finally our results show that there is strong contemporaneous correlation between both public and private real estate market liquidity and the term spread and real investment and consumption spending. REIT liquidity measures based on intraday data also appear to contain important information not found in measures constructed from daily returns.

The financial crisis highlighted the important role played by liquidity in finance and real estate markets. This has stimulated a range of research focusing on the dynamics and cross-section commonality of liquidity, see for instance, Spiegel, 2008 and Korajczyk and Sadka, 2008, and Naes et al. (2011). In this paper we examine liquidity measures and transmission across public and private real estate markets. In particular, using data on publicly traded real estate investment trusts (REITs) and trading data on commercial real estate, we document the transmission of a liquidity shock from public to private markets. Furthermore we examine the relationship between liquidity in real estate markets (both public and private markets) and macroeconomic variances and show how the transmission mechanism differs between public and private markets. Using data on commercial real estate markets provides an appealing laboratory in which to consider cross-asset commonality and transmission in liquidity. In this case the underlying asset, commercial real estate, forms the main asset holding of publicly traded REITs and is the source of constant performance monitoring by a number of professional organization.1 When considering all real assets markets, commercial real estate has the most detailed and extensive, validated set of performance data of any alternative asset class. In terms of the dynamics of the liquidity process, we construct several recognized proxies for liquidity, based on quote and trade prices, and daily trading data, for REITs, a sample of control firms (matched for market capitalization and the book-to-market ratio), and the overall market. Several papers have examined liquidity proxies using daily trading data, see for instance, Marcato and Ward, 2007 and Brounen et al., 2009, and Cannon and Cole (2011). However, unlike these studies we include liquidity measures based on intraday quote and trade prices for REITs. To preview our results, we find that REITs generally have a lower level of liquidity than either the controls or the overall market. After documenting the characteristics and dynamics of these series, we then consider the transmission of a liquidity shock between these series. Information about the transmission mechanism has implications for portfolio diversification as many investors choose to hold REITs as a diversifying asset class. Using Granger Causality tests, we find an intriguing result, even though the Amihud liquidity proxy for the market tends to lead REIT liquidity (Amihud, 2002), turnover in REITs does appear to lead overall market turnover. We discuss possible reasons for this in Section 4. A further innovation in our study is the use of liquidity measures obtained from the direct real estate market. To date very few studies have considered liquidity measures in the direct real estate market and there is little understanding of the dynamic properties of this series of interest (see Clayton et al., 2008 for a related article). Using data from the MIT Transactions-Based Index (TBI) (see Fisher et al., 2007), we examine liquidity measures based on an Amihud-type of construct. Recently Bond and Slezak (2010) have used the latter measure as a liquidity proxy in a portfolio optimization exercise and the results of the present study would appear to support the use of this measure as a meaningful proxy for liquidity. We document the dynamic relationship between these measures and show some difference in the transmission mechanism between each measure and liquidity measures in the public markets. Furthermore, we find evidence of a strong connection between macroeconomic factors and liquidity in the private real estate market. Our study extends the work of Marcato and Ward (2007) and Brounen et al. (2009) in three ways. Firstly, our sample covers the recent financial crisis and given the significance of liquidity in the crisis, provides important information to researchers and investors on the behavior of liquidity in crisis periods in these markets. Second, while our paper examines only US markets, it incorporates measures of liquidity from the public markets as well as private real estate markets. Most of the literature to date has primarily focused on REIT liquidity. Finally, our study investigates the relationships between macroeconomic factors and liquidity in real estate markets. The outline of our paper is as follows. The next section reviews the relevant literature. Following that we describe the data and liquidity measures used in our study in Section 3. Section 4 outlines our approach to the factor decomposition of the liquidity measures and Section 5 discusses our results. The paper concludes in Section 6.

Our study has investigated a number of features of cross-market liquidity between public and private commercial real estate markets. To our knowledge this has been the fi rst study to consider liquidity connections between these two markets. Furthermore it is one of the fi rst to investigate liquidity in commercial real estate markets following the fi nancial crisis. Our initial set of results focuses on the REIT market and compares liquidity for REITs to a set of controls matched for size and book-to-market, as well as overall equity market liquidity. We note that controlling for size and book-to-market, REIT liquidity is lower than for non-REIT fi rms. While our results show clear commonality in liquidity among REITs, as well the control fi rms, using the Amihud liquidity measure shows that there is less commonality in the REITs compared to the controls. Indeed, based on the R 2 measure, the commonality in REITs is less than half that of the controls and onlya third of that of the overall market. Like Brounen et al. (2009) , we do note important differences between the liquidity measures. For instance, in terms of the measures of commonality reported for turnover, for REITs we fi nd this to be signi fi cantly higher than for the controls and the market. These results also appear to be at odds with the fi ndings of Korajczyk and Sadka (2008) , who generally fi nd lower levels of commonality in liquidity basedon turnover measures. Whilethis result requiresfurther investigationit may be due inparttothe fi nancial crisis and the way inwhich real estate related fi rms were particularlyaffected by the nature of the crisis. Furthermore, we found important information contained in liquidity measures constructed using market microstructure variables that has not been previously identi fi ed. Firstly, the extreme liquidity freeze that took place during the fi nancial crisis is much more evident when intraday data is used than daily data. Also, there is evidence that the liquidity variables based on intraday data lead other liquidity measures for REITs. During the fi nancial crisis, we also found evidence that REIT liquidity measure led overall market liquidity and turnover measures. This may be due to the real estate intensive nature of the crisis. In the second set of fi ndings reported, we investigate cross-market liquidity between public and private real estate markets. We fi nd generally similar time-variation in the liquidity measures for both real estatemarkets. Due to the similar time-series variation, we test for any directional causality between the markets and fi nd that generally the causality runs from the public markets to the private markets. However, wedonote the fi ndingof bi-directional causality between the TBI spreadmeasure of liquidity and the Amihud measure for REITs. Our fi nal set of results investigated a connection between macroeconomic factors and real estate market liquidity. We fi nd a strong association between real estate liquidity and the term spread, and between real estate liquidity and changes in real investment and consumption expenditure, as well as with the unemployment rate. Other strong associations were found between liquidity and changes in GDP. An interesting difference noted between the public and private markets, was that credit spreads did not appear to be associated with liquidity in the private real estate market, but it was associated with liquidity in the REIT market.