Measuring and Explaining Changes in REIT Liquidity: Moving Beyond the Bid–Ask Spread
利用1993和1996年REIT交易数据，研究发现REIT流动性显著提升，主要驱动力是自我建议、自我管理组织结构的普及，且知情交易者增加带来的逆向选择成本被非知情交易者增加带来的市场厚度效应所抵消。
This paper investigates changes in REIT liquidity since the REIT boom of 1993. We use trade‐by‐trade data for REITs traded on the major U.S. exchanges to estimate and compare Kyle's (1985) measure of inverse liquidity for the 1993 and 1996 time periods. For our full sample of equity REITs, there is a significant increase in REIT liquidity in terms of the median price impact of trades. The increasing importance of the self‐advised, self‐managed organizational structure is found to be a major factor driving increased REIT liquidity. Our results imply a decline in the asymmetric information faced by market‐makers. Our investigation of the changes in the size distribution and resulting price impacts of REIT trades over the 1993–1996 period yields evidence of increased importance of informed traders to REIT price dynamics. Our findings of increased liquidity indicate that the increase in adverse‐selection costs due to the presence of more informed traders is more than offset by the increase in market thickness as a result of an increase in the number of uninformed (liquidity) traders.