This paper investigates the relationship between market liquidity, as indicated by transaction activity, and real estate asset pricing. Prior research has typically focused on the US or UK markets, but this study draws upon office market data for 36 cities situated in 20 countries over the period Q1 2007 to Q2 2015. Prime office yield is used as the dependent variable when the effects on pricing of transaction activity are modelled. Transaction activity is captured in absolute terms using volumes and in relative terms through the measurement of turnover rates. Turnover rates are measured in two ways: as the proportion of stock in terms of physical area that traded and as the proportion of stock in terms of total value that traded. A range of econometric techniques are then applied in order to control for well-known endogeneity problems when estimating the impacts of trading on prices, and vice versa. The results indicate the extent to which transaction activity has a significant effect on pricing after controlling for other fundamental drivers. In addition, the research provides further insights into variations in transaction activity between major global office markets.