%0 Conference Paper %B 20th Annual European Real Estate Society Conference %D 2013 %T Liquidity and Asset pricing: Evidence from the European Real Estate Stock Market %A Stephan Lang %A Alexander Scholz %K Asset Pricing %K European real estate %K Fama-french %K Liquidity %K Risk Factors %X

The purpose of this paper is to provide evidence of the ability of liquidity to serve as a systematic risk factor in real estate asset pricing models in Europe. Using general equity data of 8.500 listed European firms, we construct 18 portfolios by a three-sequential, independent sorting procedure (Size, B/M and Liquidity) to compute the common risk factors SMB and HML as proposed by Fama and French (1993) as well as a liquidity risk factor. Our empirical findings suggest that liquidity is a significant pricing factor in real estate stock returns after accounting for the established asset pricing factors. These results are robust to conditional market tests and possible country effects. Furthermore, we run a comparative analysis with alternative multifactor models and prove that the liquidity-augmented pricing model is most appropriate for explaining real estate stock returns.

%B 20th Annual European Real Estate Society Conference %S ERES: Conference %C Vienna, Austria %G eng %3

RePEc:arz:wpaper:eres2013_230

%! Conference 2013 %R 10.15396/eres2013_230