Real estate illiquidity and returns: A time-varying regional perspective

被引：4

作者：

Ellington, Michael ^{[1
]}

Fu, Xi ^{[1
]}

Zhu, Yunyi ^{[1
]}

机构：

[1] Univ Liverpool, Management Sch, Chatham Bldg,Chatham St, Liverpool L69 7ZH, England

来源：

INTERNATIONAL JOURNAL OF FORECASTING | 2023年 / 39卷 / 01期

关键词：

Real estate; Liquidity; Forecasting; Time-varying parameter VAR; Network connections; MARKET ILLIQUIDITY; TRADING VOLUME; STOCK RETURNS; HOUSE PRICES; LIQUIDITY; AGGREGATE; DYNAMICS; GROWTH; SHOCKS; IMPACT;

D O I：

10.1016/j.ijforecast.2021.08.005

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper proposes two new measures of illiquidity for real estate markets, utilising concepts from asset pricing. Segregating real estate through a regional lens, we provide an in-depth analysis of real estate returns and illiquidity for the US and UK. Our results provide statistically significant and economically meaningful evidence that real estate illiquidity predicts real estate returns out-of-sample over and above a variety of control variables.(c) 2021 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved.

引用

页码：58 / 72

页数：15

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