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Essays on Liquidity in Finance and Real Estate Markets

2013
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Release : 2013
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Book Synopsis Essays on Liquidity in Finance and Real Estate Markets by : Qingqing Chang

Download or read book Essays on Liquidity in Finance and Real Estate Markets written by Qingqing Chang. This book was released on 2013. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation studies liquidity and its relationship with stock returns and real estate markets. Liquidity has wide ranging effects on financial markets and the financial crisis highlighted the important role played by liquidity in finance and real estate markets. The objective of this dissertation research is to examine the characteristics of liquidity in different financial markets and to study the effect of innovations in liquidity on stock return volatility. First, using high-frequency trading data on publicly-traded real estate investment trusts (REITs) and trading data on commercial real estate assets, 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 variables. We also show how the transmission mechanism differs between public and private markets. Second, using revisions to equity analyst consensus forecasts to measure cash-flow news directly, we are able to study the relationship between innovations in liquidity and stock-return volatility under the return-decomposition framework. We contend that both cash-flow news and expected return news correlate with liquidity shocks, and the cash-flow news component is a nontrivial channel through which liquidity correlates with stock returns. This dissertation research aims to fill in the gaps in the existing empirical literature on liquidity and sheds light on the important relationship between liquidity and stock returns.

Essays on Transparency, Systemic Risk, and Liquidity in Real Estate Markets

2018
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Release : 2018
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Book Synopsis Essays on Transparency, Systemic Risk, and Liquidity in Real Estate Markets by : Daniel Ruf

Download or read book Essays on Transparency, Systemic Risk, and Liquidity in Real Estate Markets written by Daniel Ruf. This book was released on 2018. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three essays on transparency, systemic risk, and liquidity in real estate markets. The first essay proposes a benchmark portfolio that contains property markets with a higher level of pre-trade transparency to assess expected returns in opaque commercial real estate markets. We find empirical evidence of abnormal returns in opaque markets relative to the benchmark portfolio. Based on pre-trade transparency, we test for information-based co-movements between transparent and less transparent property markets. Revealed post-trade information of how changes in macroeconomic fundamentals affect the valuation of commercial real estate in transparent markets leads to spillover effects to less transparent markets. We also test for learning externalities from the benchmark portfolio to opaque markets. These externalities can be related to different learning-based investment strategies such as cultural familiarity or information advantages from specializing in opaque markets. The second essay analyzes systemic risk in financial center office markets. Based on the expected capital shortfall of financial institutions, we compute the total systemic risk in the banking sector of financial centers. We show that cross-sectional dependence and return co-movements among financial center office markets arise due to the systemic banking sector risk during financial turmoil periods. As crisis periods, we use the dotcom bubble burst in 2001 and the recent financial crisis 2007/2008. Exploiting spatial econometrics, we test for return co-movements among office markets during normal times as a placebo test and among counterfactual retail markets. We also show that the decline in office market returns during financial turmoil is larger in financial centers compared to non-financial centers. The last essay analyzes the impact of nearby located urban agglomeration centers on local rental housing market liquidity. The empirical.

Three Essays on Corporate Liquidity, Financial Crisis, and Real Estate

2013 Business enterprises
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Release : 2013
Genre : Business enterprises
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Book Synopsis Three Essays on Corporate Liquidity, Financial Crisis, and Real Estate by : Kimberly Fowler Luchtenberg

Download or read book Three Essays on Corporate Liquidity, Financial Crisis, and Real Estate written by Kimberly Fowler Luchtenberg. This book was released on 2013. Available in PDF, EPUB and Kindle. Book excerpt:

Essays on Liquidity in Financial Markets

2000 Investments
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Release : 2000
Genre : Investments
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Book Synopsis Essays on Liquidity in Financial Markets by : John Brendan McDermott

Download or read book Essays on Liquidity in Financial Markets written by John Brendan McDermott. This book was released on 2000. Available in PDF, EPUB and Kindle. Book excerpt:

Liquidity Creation and Financial Fragility

2010 Business & Economics
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Release : 2010
Genre : Business & Economics
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Book Rating : 978/5 ( reviews)

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Book Synopsis Liquidity Creation and Financial Fragility by : Christian Weistroffer

Download or read book Liquidity Creation and Financial Fragility written by Christian Weistroffer. This book was released on 2010. Available in PDF, EPUB and Kindle. Book excerpt: Open-end real estate funds (OEREFs) are the predominant vehicle in Germany for channeling private capital flows into commercial real estate markets. They transform longer-term investment projects into daily redeemable claims. To the extent that OEREFs stand ready to both issue new shares and redeem outstanding ones on a daily basis they provide valuable liquidity transformation. At the same time, they become susceptible to run phenomena. This dissertation analyzes the inherent fragility of open-end real estate funds in light of the German open-end fund crisis of 2005/06. The dissertation comprises three papers. The first paper explores how fund performance and other factors influenced capital flows into OEREFs before, during and after the German open-end fund crisis of 2005/06. The second paper looks at the valuation practice of OEREFs and assesses whether funds have suffered from a valuation problem. It finds evidence in support of the view that systematic deviations of appraised values from prices achieved in the market were at the heart of the 2005/06 German open-end fund crisis. The third paper relates findings from banking theory to OEREFs. It explores under which conditions the open-end fund contract resembles a demand deposit contract that is prone not only to panics but also to fundamental runs. The dissertation concludes by discussing policy options to mitigate the run problem.

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