The Liquidity of Property Shares: An International Comparison
研究了1990-2007年间美国、英国、欧洲大陆和澳大利亚四大证券化房地产市场中股票流动性的程度和决定因素，发现市值、非零售持股和股息率是流动性的重要驱动因素，且流动性在不同国家和公司类型间存在显著差异。
This article investigates the magnitude and determinates of share liquidity over the 1990–2007 period in the world's four largest securitized real estate markets: the United States, the United Kingdom, Continental Europe and Australia. We document a significant and consistent role for market capitalization, nonretail share ownership and dividend yield as drivers of liquidity across markets. We also document significant differences in liquidity across countries and between property and nonproperty companies. Also striking is the lack of correlation among our three measures of liquidity across property firms and time. This supports the notion that share price liquidity is multifaceted and therefore reliance on any one measure of liquidity in empirical work may produce misleading conclusions. Although we find some evidence of a connection between liquidity and firm value, it is less conclusive than prior studies.