When liquidity providers for one asset obtain information from other asset prices, this may magnify the (upward or downward) comovement of asset liquidity. It also may yield an illiquidity multiplier. We empirically test the magnitude of this illiquidity multiplier for a sample of U.S. equity real estate investment trusts (REITs) using spatial autoregressive models. We find significant liquidity spillovers among REITs with geographically overlapping real estate holdings. Our findings suggest that the multiplier effect impacts neighboring REITs through cross-asset learning about firm fundamentals. This effect is stronger during market turmoil, after the Decimalization (a source of exogenous variation), and for REITs headquartered in MSAs with less information asymmetry.
{"title":"Geographically Overlapping Real Estate Assets, Liquidity Spillovers, and Liquidity Multiplier Effects","authors":"Chongyu Wang, Jeffrey P. Cohen, J. Glascock","doi":"10.2139/ssrn.3154088","DOIUrl":"https://doi.org/10.2139/ssrn.3154088","url":null,"abstract":"When liquidity providers for one asset obtain information from other asset prices, this may magnify the (upward or downward) comovement of asset liquidity. It also may yield an illiquidity multiplier. We empirically test the magnitude of this illiquidity multiplier for a sample of U.S. equity real estate investment trusts (REITs) using spatial autoregressive models. We find significant liquidity spillovers among REITs with geographically overlapping real estate holdings. Our findings suggest that the multiplier effect impacts neighboring REITs through cross-asset learning about firm fundamentals. This effect is stronger during market turmoil, after the Decimalization (a source of exogenous variation), and for REITs headquartered in MSAs with less information asymmetry.","PeriodicalId":121158,"journal":{"name":"UConn: Real Estate (Topic)","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114244999","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2018-03-25DOI: 10.1080/10835547.2018.12090484
J. Glascock, Ying Zhang, Tingyu Zhou
Abstract We review the key differences between the finance and real estate literature on mergers and acquisitions (M&As) from 1980 to 2016. We summarize the differences in M&As between REITs and ge...
{"title":"A Review and Extension of Merger and Acquisition Research between REITs and General Corporations","authors":"J. Glascock, Ying Zhang, Tingyu Zhou","doi":"10.1080/10835547.2018.12090484","DOIUrl":"https://doi.org/10.1080/10835547.2018.12090484","url":null,"abstract":"Abstract We review the key differences between the finance and real estate literature on mergers and acquisitions (M&As) from 1980 to 2016. We summarize the differences in M&As between REITs and ge...","PeriodicalId":121158,"journal":{"name":"UConn: Real Estate (Topic)","volume":"21 4","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-03-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114038272","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
An understanding of the spatial variation in the impacts of living near reservoirs, dams, and undevelopable land is important in explaining residential property values. While there is a body of literature on the effects of proximity to dams and reservoirs on housing prices, little known research attempts to determine if various individual houses are impacted differently depending on their locations and years of sale. We examine properties in Barkhamstead, Connecticut that sold between 2001 and 2015. We utilize non-parametric regression techniques to allow for the possibility that the major reservoirs, dams and undevelopable land areas, affect various house prices differently, depending on their locations and when they are sold. We find that for the most part, proximity to dams leads to lower housing sale prices, with the magnitudes of these effects varying across geographic space and over time. A difference-in-differences approach indicates that the willingness to pay for distance from the dams decreased after the most recent housing crisis. In general, undevelopable land area is valued as an amenity in this rural town. The signs of the effects of proximity to the reservoir vary - some properties benefit from proximity while others experience lower sale prices when they are closer to the reservoir. We also control for other key housing characteristics and environmental variables, such as elevation, numbers of bedrooms and baths, age of properties, year of sale, square footage and acreage, and others. We generate maps of the signs and magnitudes of the coefficients for several of the key variables to illustrate the spatial heterogeneity.
{"title":"Proximity to a Water Supply Reservoir and Dams: Is There Spatial Heterogeneity in the Effects on Housing Prices?","authors":"Jeffrey P. Cohen, Joseph J. Danko, Ke Yang","doi":"10.2139/ssrn.2839006","DOIUrl":"https://doi.org/10.2139/ssrn.2839006","url":null,"abstract":"An understanding of the spatial variation in the impacts of living near reservoirs, dams, and undevelopable land is important in explaining residential property values. While there is a body of literature on the effects of proximity to dams and reservoirs on housing prices, little known research attempts to determine if various individual houses are impacted differently depending on their locations and years of sale. We examine properties in Barkhamstead, Connecticut that sold between 2001 and 2015. We utilize non-parametric regression techniques to allow for the possibility that the major reservoirs, dams and undevelopable land areas, affect various house prices differently, depending on their locations and when they are sold. We find that for the most part, proximity to dams leads to lower housing sale prices, with the magnitudes of these effects varying across geographic space and over time. A difference-in-differences approach indicates that the willingness to pay for distance from the dams decreased after the most recent housing crisis. In general, undevelopable land area is valued as an amenity in this rural town. The signs of the effects of proximity to the reservoir vary - some properties benefit from proximity while others experience lower sale prices when they are closer to the reservoir. We also control for other key housing characteristics and environmental variables, such as elevation, numbers of bedrooms and baths, age of properties, year of sale, square footage and acreage, and others. We generate maps of the signs and magnitudes of the coefficients for several of the key variables to illustrate the spatial heterogeneity.","PeriodicalId":121158,"journal":{"name":"UConn: Real Estate (Topic)","volume":"96 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-06-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133747436","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
京公网安备 11010802042870号
京ICP备2023020795号-1
扫码关注我们
求助内容：
应助结果提醒方式：