TY - CONF T1 - Liquidity Pricing of Illiquid Assets T2 - 25th Annual European Real Estate Society Conference Y1 - 2018 A1 - Marcato, Gianluca KW - Asset Pricing KW - Liquidity KW - real estate KW - Risk Premium AB -

So far the main body of the asset pricing literature has computed liquidity risk premia for either markets or single assets. The vast majority of these studies have been focused on fairly liquid assets, but recently a greater attempt to price such an important component of asset pricing factors in markets with high illiquidity (especially in real estate) has also started to take place.

The present paper brings these recent studies together, and estimates the liquidity premium of an illiquid asset (real estate) looking at three main aspects – time on market, liquidation bias and market liquidity – and using three main empirical models and several liquidity measures suggested in the literature. We find strong evidence of a high premium of around 3.0-3.5% that varies across sectors and periods. This estimation is robust to different measures of liquidity and model specifications.

JA - 25th Annual European Real Estate Society Conference T3 - ERES: Conference CY - Reading, UK J1 - Conference: 2018 ID - oai:eres.id:eres2018_215 M3 - 10.15396/eres2018_215 ER -