Liquidity in global real estate securities markets

Bubbles in Real Estate Markets

Correlation structure and dynamics of international real estate securities markets: A network perspective

In this paper, we investigate the correlation structure and dynamics of international real estate securities markets by using daily returns of 20 national markets during the period 2006–2012 from a network perspective. We construct the minimum spanning tree (MST), the hierarchical tree (HT), and the planar maximally filtered graph (PMFG) obtained from the correlation matrix computed by the dail...

Hidden and Displayed Liquidity in Securities Markets with Informed Liquidity Providers

We examine the impact on the quality of a securities market of hiding versus displaying orders that provide liquidity. Display expropriates informational rents from informed agents who trade as liquidity providers. The informed then exit liquidity provision in favor of demanding liquidity where they trade less aggressively. Trading costs to uninformed liquidity demanders are higher, bid-ask spr...

Real estate markets and bank distress

We investigate the relationship between real estate markets and bank distress among German universal and specialized mortgage banks between 1995 and 2004. Higher house prices increase the value of collateral, which reduces the probability of bank distress (PDs). But higher prices at given rents may also indicate excessive expectations regarding the present value of real estate assets, which can...

Knowing your Neighborhood: Asymmetric Information in Real Estate Markets∗

We study equilibrium asset market outcomes when there is heterogeneity in information about asset values among both buyers and sellers. We argue that in residential real estate markets a key source of information heterogeneity pertains to hard-toobserve characteristics of the neighborhood that are subsequently capitalized in land prices. Sellers are usually better informed about neighborhood ch...