Liquidity, Return and Order‐Flow Linkages Between REITs and the Stock Market
首次探索纽约证券交易所股票与房地产投资信托之间的流动性和订单流溢出效应，发现流动性从REITs向非REITs持续溢出，且REIT回报存在流动性溢价。
This article represents the first exploration of liquidity and order flow spillovers across New York Stock Exchange stocks and real estate investment trusts (REITs). Impulse response functions and Granger causality tests indicate the existence of persistent liquidity spillovers running from REITs to non‐REITs. Specifically, REIT liquidity indicators are forecastable from non‐REIT ones, at both daily and monthly horizons. I also provide evidence of a liquidity premium inherent in REIT returns. While REIT prices appear to be set efficiently in that neither REIT nor non‐REIT order flows forecast REIT returns, I find that order flows and returns in the stock market negatively forecast REIT order flows. This result is consistent with the notion that real estate markets are viewed as substitute investments for the stock market, which causes down‐moves in the stock market to increase money flows to the REIT market.