Liquidity: A Review of Dimensions, Causes, Measures, and Empirical Applications in Real Estate Markets

Ametefe, Frank Kwakutse; Devaney, Steven; Marcato, Gianluca

doi:10.1080/10835547.2016.12090415

Cited by 22 publications

(8 citation statements)

References 119 publications

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“…There are 15,429 unique works put up for another auction at least once more after their initial purchase in the sample period, and 73% of these items are successfully sold again. 5 Also, the investor horizon data for many assets are not readily available (Ametefe et al, 2016), and many studies use indirect measures, such as turnover rate, which usually ignores heterogeneity among investors. 6 Ashenfelter and Graddy (2011) estimate that the reserve prices for contemporary art auctions are about 70% of the low-price estimates provided by the auction houses.…”

Section: Data and Summary Statisticsmentioning

confidence: 99%

Investment horizon for private‐value assets: Evidence from the art market

Nozari

2022

J of Financial Research

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Over the past two decades, the idea of purchasing art as an asset class has attracted many collectors with investment goals to the art market. I examine how collectors trade art by focusing on their investment horizons. Controlling for quality and market conditions, I show that collectors' personal tastes and uncertainty in valuation could affect how long they keep their artwork. I also find that specific characteristics of artwork or artists are determinants of investment horizons. The natural conclusion of the findings is that artwork with high common market value is traded more frequently, whereas higher personal valuation can lead to longer duration ownership.

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Section: Data and Summary Statisticsmentioning

confidence: 99%

Investment horizon for private‐value assets: Evidence from the art market

Nozari

2022

J of Financial Research

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“…Since the paper studies the market microstructure of real estate markets, it is naturally related to papers that study liquidity in real estate markets. The measurement (e.g., Kluger and Miller 1990) and the characteristics of liquidity (see Ametefe et al (2016) for a thorough literature review) have been extensively studied in real estate markets. Moreover, researchers have established that the characteristic level of liquidity is related to real estate returns (e.g., Cajias et al 2020;Benveniste et al 2001).…”

Section: Literature Reviewmentioning

confidence: 99%

Trading Activity in Public Real Estate Markets

Richter¹

2022

JRFM

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Trading activity is an important characteristic of financial markets, since it is related to price discovery, volatility, and market liquidity. It is therefore of crucial importance to understand what drives trading activity in real estate markets. Here, we use a panel dataset consisting of 142 US REIT stocks observed over almost 20 years and a fixed-effects regression approach to link variation in trading activity to proxies for different trading motives (theory-motivated). The paper shows that the drivers of trading activity in real estate markets are distinct from those in the broader equity market. Proxies for portfolio rebalancing needs and liquidity trading are shown to be important trading motives in REIT markets. However, unlike in the broader equity market, difference of opinions and information-based trading motives seem to play a minor role for REIT trading activity.

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“…Table A1 in the appendix provides an overview about liquidity measures that have been suggested in the literature. Following Ametefe et al (2016), we distinguish between measures that are based on transaction costs, trading volume, trading time, price impacts or returns. Many of the proxies commonly used to measure the liquidity of stock and bond markets are not applicable to farmland markets or other real estate markets because trading in these markets does not take place on exchanges due to the heterogeneity.…”

Section: Dimensions and Indicators Of Liquiditymentioning

confidence: 99%

“…Two further dimensions of market liquidity, which have been introduced in the literature, are market breadth and immediacy (e.g. Ametefe et al , 2016). Breadth measures the size of the trading volume, while immediacy is defined as the speed at which a sell or buy order can be executed.…”

Section: Measuring and Modelling Market Liquiditymentioning

confidence: 99%

Measuring liquidity in agricultural land markets

Kionka

Odening

Plogmann

et al. 2021

AFR

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PurposeLiquidity is an important aspect of market efficiency. The purpose of this paper is threefold: first, this paper aims to discuss indicators that provide information about liquidity in agricultural land markets. Second, this paper aims to reflect on determinants of market liquidity and analyze the relationship with land prices. Third, this paper aims to conduct an empirical analysis for Germany that illustrates these concepts and allows hypothesis testing.Design/methodology/approachThis study reviews liquidity dimensions and measurement in financial markets and derives indicators applicable to farmland markets. In an empirical analysis, this study exhibits the spatial and temporal variability of land market liquidity in Lower Saxony, a German federal state with the highest agricultural production value. This study uses a rich dataset that includes 72,547 sale transactions of arable land between 1990 and 2018. The research focuses on volume-based (number of transactions, volume and turnover) and time-based (trading frequency and durations) measures. A panel vector autoregression and Granger causality tests are applied to investigate the relation between land turnover and land prices.FindingsThe paper confirms the thinness of farmland markets but also reveals regional and temporal heterogeneity of land market liquidity. This study finds that the relation between market liquidity and prices is ambiguous. This study concludes that a high demand from expanding farms absorbs supply shocks regardless of the current price level in agricultural land markets.Originality/valueEven though the relevance of agricultural land markets’ thinness is widely acknowledged in the literature, this paper is one of the first attempts to measure liquidity in agricultural land markets and to explain its relationship with land prices.

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Liquidity: A Review of Dimensions, Causes, Measures, and Empirical Applications in Real Estate Markets

Cited by 22 publications

References 119 publications

Investment horizon for private‐value assets: Evidence from the art market

Investment horizon for private‐value assets: Evidence from the art market

Trading Activity in Public Real Estate Markets

Measuring liquidity in agricultural land markets

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