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Essays on Liquidity in Finance and Real Estate Markets

Chang, Qingqing
http://rave.ohiolink.edu/etdc/view?acc_num=ucin1378113690

Abstract Details

2013, PhD, University of Cincinnati, Business: Business Administration.
This dissertation studies liquidity and its relationship with stock returns and real estate markets. Liquidity has wide ranging effects on financial markets and the financial crisis highlighted the important role played by liquidity in finance and real estate markets. The objective of this dissertation research is to examine the characteristics of liquidity in different financial markets and to study the effect of innovations in liquidity on stock return volatility. First, using high-frequency trading data on publicly-traded real estate investment trusts (REITs) and trading data on commercial real estate assets, we document the transmission of a liquidity shock from public to private markets. Furthermore we examine the relationship between liquidity in real estate markets (both public and private markets) and macroeconomic variables. We also show how the transmission mechanism differs between public and private markets. Second, using revisions to equity analyst consensus forecasts to measure cash-flow news directly, we are able to study the relationship between innovations in liquidity and stock-return volatility under the return-decomposition framework. We contend that both cash-flow news and expected return news correlate with liquidity shocks, and the cash-flow news component is a nontrivial channel through which liquidity correlates with stock returns. This dissertation research aims to fill in the gaps in the existing empirical literature on liquidity and sheds light on the important relationship between liquidity and stock returns.
Shaun Bond, Ph.D. (Committee Chair)
Brian Hatch, Ph.D. (Committee Member)
Steve Slezak, Ph.D. (Committee Member)
Nicolas Williams, Ph.D. (Committee Member)
Business Administration
cross-market liquidity; REITs; commercial real estate; Innovations in Liquidity; Cash-flow News; Expected-return News

Recommended Citations

Citations

  • Chang, Q. (2013). Essays on Liquidity in Finance and Real Estate Markets [Doctoral dissertation, University of Cincinnati]. OhioLINK Electronic Theses and Dissertations Center. http://rave.ohiolink.edu/etdc/view?acc_num=ucin1378113690

    APA Style (7th edition)

  • Chang, Qingqing. Essays on Liquidity in Finance and Real Estate Markets. 2013. University of Cincinnati, Doctoral dissertation. OhioLINK Electronic Theses and Dissertations Center, http://rave.ohiolink.edu/etdc/view?acc_num=ucin1378113690.

    MLA Style (8th edition)

  • Chang, Qingqing. "Essays on Liquidity in Finance and Real Estate Markets." Doctoral dissertation, University of Cincinnati, 2013. http://rave.ohiolink.edu/etdc/view?acc_num=ucin1378113690

    Chicago Manual of Style (17th edition)

ucin1378113690
566
© 2013, all rights reserved.
This open access ETD is published by University of Cincinnati and OhioLINK.