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

Ellington, Michael ORCID: 0000-0003-0264-7572, Fu, Xi ORCID: 0000-0003-4254-6493 and Zhu, Yunyi (2023) Real estate illiquidity and returns: A time-varying regional perspective. INTERNATIONAL JOURNAL OF FORECASTING, 39 (1). pp. 58-72.

[thumbnail of EFZ_2021_Regional_IJF_R2.pdf]

Text
EFZ_2021_Regional_IJF_R2.pdf - Author Accepted Manuscript
Download (522kB) | Preview

Official URL: http://dx.doi.org/10.1016/j.ijforecast.2021.08.005

Abstract

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.

Item Type:	Article
Additional Information:	Source info: International Journal of Forecasting, Forthcoming
Uncontrolled Keywords:	Real estate, Liquidity, Forecasting, Time-varying parameter VAR, Network connections
Divisions:	Faculty of Humanities and Social Sciences > School of Management
Depositing User:	Symplectic Admin
Date Deposited:	01 Sep 2021 08:31
Last Modified:	25 Jan 2023 22:09
DOI:	10.1016/j.ijforecast.2021.08.005
Related URLs:	Author Publisher
URI:	https://livrepository.liverpool.ac.uk/id/eprint/3135096