Real Estate Investment Trusts, Small Stocks and Bid‐ask Spreads
研究了1986-1990年间房地产投资信托（REIT）的流动性（以买卖价差衡量），发现其价差与市值负相关，与同规模其他股票相当，且受上市交易所和机构持股比例影响。
This study examines the liquidity of Real Estate Investment Trusts (REITs), as measured by their bid‐ask spread. We find that REIT spreads have increased over the period 1986–1990, are inversely related to market capitalization, and are similar in magnitude to spreads on other stocks of comparable size. Analysis of variance tests indicate that REIT spreads are similar across equity, mortgage and hybrid asset types. Multivariate regression results indicate that market capitalization is the primary determinant of REIT bid‐ask spreads, and spreads are larger for National Association of Securities Dealers Automated Quotations (NASDAQ) REITs than for New York Stock Exchange (NYSE) REITs. The regression results also indicate that spreads are lower for equity REITs than for mortgage or hybrid REITs, and are inversely related to the fraction of the REIT's shares held by institutional investors. The similarity between REIT spreads and those of other common stocks holds in both bull and bear real estate markets and suggests that, from a liquidity perspective, REITs are similar to other common stocks.