Changes in REIT Liquidity 1990–1994: Evidence from Intra‐day Transactions
利用日内交易数据，研究1990至1994年间REIT流动性（以买卖价差衡量）的变化，发现百分比价差收窄主要源于股价上升，且回报方差和股价是主要决定因素，REIT流动性与非REIT证券相似。
This study uses data on intra‐day transactions to analyze whether real estate investment (REIT) liquidity as measured by the bid‐ask spread changed from 1990 to 1994, a period during which the industry's market capitalization increased from $8.7 billion to $45 billion. REIT percentage spreads (spread as percentage of share price) narrowed significantly, primarily attributable to higher share prices rather than narrower dollar‐value spreads. An empirical model is used to analyze the determinants of percentage spreads. Return variance and share price, not market capitalization are found to be the primary determinants of percentage spreads in both periods. This suggests that the liquidity of REIT securities is similar to that of non‐REIT securities with similar prices and return variance. In addition, percentage spreads are wider for REITs trading on the NASDAQ.