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Understanding the pricing of real estate equities is a central objective of real estate research. This paper aims to investigate the impact of liquidity on European real estate equity returns, after accounting for well-documented systematic risk factors.

Based on risk factors derived from general equity data, the authors extend the Fama-French time-series regression approach by a liquidity factor, using a pan-European sample of 272 real estate equities.

The empirical results indicate that liquidity is a significant pricing factor in real estate stock returns, even after controlling for market, size and book-to-market factors. In addition, the authors detect that real estate stock returns load predominantly positively on the liquidity risk factor, suggesting that real estate equities tend to behave like illiquid common equities. These findings are underpinned by a series of robustness checks. Running a comparative analysis with alternative factor models, the authors further demonstrate that the liquidity-augmented asset-pricing model is most appropriate for explaining European real estate stock returns.

The inclusion of sentiment and downside risk factors could provide further insights into real estate asset pricing in European capital markets.

This is the first study to examine the role of liquidity as a systematic risk factor in a pan-European setting.

The purpose of this paper in this context is to examine the impact of asset liquidity on real estate equity returns, after taking well-documented systematic risk factors into account. Due to their unique characteristics, real estate equities constitute an inherently low degree of underlying asset liquidity.

Following the Fama-French time-series regression approach, the authors extend the conventional asset pricing model by a real estate-specific asset liquidity factor (ALF), using a sample of 244 real estate equities.

The results, based on monthly data for the period 1999-2012, reveal that asset liquidity is a relevant pricing factor which contributes to explaining return variations in real estate equity markets. Accordingly, investors expect a risk premium from listed real estate companies with a low degree of asset liquidity, which is especially the case for companies facing financial constraints and during economic downturns. Furthermore, an investment strategy exploiting differences in the underlying asset liquidity yields considerable average excess returns of upto 8.04 per cent p.a.

Considering the findings presented in this paper, asset liquidity should receive special attention from investors, as well as from the management boards of listed real estate companies. While investors who ignore the magnitude of asset liquidity may systematically misprice real estate equities, management can influence the firm’s cost of capital by adjusting the underlying asset liquidity.

This is the first study to examine the role of an ALF in a real estate asset pricing framework.

The purpose of this paper is to propose a novel theory of the equilibrium liquidity premia of private equity funds and explore its asset-pricing implications.

The theory assumes that investors are exposed to the risk of facing surprise liquidity shocks, which upon arrival force them to liquidate their positions on the secondary private equity markets at some stochastic discount to the fund’s current net asset value. Assuming a competitive market where fund managers capture all rents from managing the funds and investors just break even on their positions, liquidity premia are defined as the risk-adjusted excess returns that fund managers must generate to compensate investors for the costs of illiquidity. The model is calibrated to data of buyout funds and is illustrated by using numerical simulations.

The model analysis generates a rich set of novel implications. These concern how fund characteristics affect liquidity premia, the role of the investors’ propensities of liquidity shocks in determining liquidity premia and the impact of market conditions and cycles on liquidity premia.

This is the first paper that derives liquidity premia of private equity funds in an equilibrium setting in which investors are exposed to the risk of facing surprise liquidity shocks.

Short‐term cash need plays a critical role in equity issuance decisions. Consequently, the ease with which a seasoned equity offer (SEO) is completed can have a direct effect on the cost of raising equity. The purpose of this paper is to examine whether liquidity is likely to affect the ease with which an offer is completed, as proxied by the length of the offer.

This study uses multiple regression analysis to establish the link between liquidity and the duration of the SEO completion cycle. To provide support to the findings, event study methodology is employed to study the abnormal volume turnover during the pre‐SEO announcement period for firms with shorter and longer registration periods.

The paper finds that firms with greater liquidity come to market sooner. The results indicate a small yet significant effect of liquidity on the duration of the SEO completion cycle. There is also evidence that lower pre‐announcement period volume turnover is associated with a longer registration period – which has some implications for issuance costs. The results are robust to the inclusion of industry or firm effects, use of different regression specifications, and application of alternative liquidity measures.

This paper belongs to the growing literature that examines the link between liquidity and the firm's equity issuance costs. It adds to the literature by: examining the determinants of the time it takes to complete an offering; providing the evidence that liquidity may affect the ease with which investment bankers place new shares; and presenting the evidence using newer measures of liquidity based on low‐frequency data.

The purpose of this paper is to investigate whether information asymmetry mediates the relationship between disclosure and cost of equity.

The study is based on a sample of 500 companies listed in Bombay Stock Exchange for a period of six years from 2015 to 2021. Panel data regression is applied to analyze the relationship between voluntary disclosure, cost of equity and information asymmetry. Mediation effect of information asymmetry is tested with the help of Barron and Kenny’s (1986) approach.

Findings suggest that in case of Indian companies, disclosure reduces cost of equity directly and indirectly through mediation of information asymmetry. Indian investors value credible information for better estimation of future returns, supporting the validity of estimation risk and stock market liquidity hypothesis, which proposes an inverse relationship between disclosure and cost of equity.

Managers can use the findings to strategize their disclosure policy and secure funds at lower cost. Shareholders can monitor managerial actions by demanding credible disclosures. Government too can encourage voluntary disclosure by providing special incentives to the firms.

This study is a pioneering research that investigates the mediating influence of information asymmetry between disclosure and cost of equity with reference to the Indian corporate landscape.

The purpose of this paper is to test the relationship between liquidity in listed real estate markets, company size and geography during different market cycles, specifically pre-crisis (2002-2006) and post-crisis (2010-2014). Further, the study analyses the impact of stock liquidity on stock performance. In a previous study the authors examined the impact of liquidity on the valuation of European real estate shares. The result showed that there is a strong relationship between liquidity, valuation and market capitalisation post the Global Financial Crisis.

The paper studies the linkages between regional market liquidity and company size for 60 listed real estate companies globally and determines the key drivers of company stock market liquidity pre- and post-crisis as well as the impact on stock performance. Analysis of variance is used to test cross-sectional independence in market liquidity combined with the Tukey’s post hoc test. The selected test indicators of liquidity to capture market depth and market tightness are daily stock turnover as percentage of market capitalisation and daily bid-ask spreads.

Findings confirm previous studies that market liquidity factors are correlated globally over time indicating markets interdependence. However, sample groups by company size and geography form independent samples with different sample means, thus specific liquidity levels in each market may be different. First, stock turnover levels have not recovered post-crisis to pre-crisis levels in the majority of markets while spreads have continued moving downward to nearly insignificant levels in line with the rest of the equity market. Second, with regards to stock performance, the European bias previously detected is not apparent in the USA, and there is no evidence of the small cap vs large cap effect of small companies achieving superior returns, although smaller companies have outperformed in Europe and Asia in each of the last three years (2012-2014).

The key implication is that although spread levels for smaller companies are higher, implying a slight risk premium when investing in small companies, this did not manifest into consistent superior stock market returns in the periods studied. In a mature market such as the USA or UK, liquidity levels in terms of stock turnover are higher and spreads are lower thus reducing trading costs, making them more attractive for investors.

This research brings together previous analysis on stock market liquidity and stock performance on a global market level. It further tests the dependence of market liquidity on two key indicators, namely, geography and company size and analyses market changes with respect to liquidity pre- and post-crisis.

The purpose of this paper is to test the hypothesis that the valuations of European real estate securities are, in part, determined by the relative liquidity in the companies’ shares.

Six groups are derived for our sample of European listed real estate companies. They are split between the UK and Europe, and then both sets are categorised by liquidity as large, medium or small. These are then tested for market depth, market tightness and difference in valuations over the cycle 2002-2012. Intuitively, it can be expected that the stock market valuation premium for companies with greater liquidity increases post the global financial crisis.

The key discriminating variable that drives companies’ liquidity and valuations is market capitalisation. For both the UK and Europe, the valuation premium of larger companies vs small companies has increased significantly since 2008 (by 20-40 per cent), which can be attributed to the increased value placed on liquidity post GFC.

The sample size is relatively small, and subject to individual company influences on stock market valuation.

The key implications from the findings are the cost and quantum of new equity capital available to companies with superior liquidity, and the possibility of exclusion from portfolios for companies with low liquidity.

Previous studies have focussed on returns for measuring a liquidity premium. This study focusses on relative valuations and how the liquidity premium changes throughout the cycle.

The purpose of this paper is to explore the micro and macro factors affecting liquidity creation by scheduled commercial banks (excluding Regional Rural Bank) in India from 2005 to 2018.

Two measures of liquidity creation, the broad and narrow measures, are constructed using RBI data available on Indian banks. System generalized method of moments has been applied to explore the factors affecting liquidity creation.

This study finds high level of persistence in liquidity creation in banks. Variation in the broad measure is explained by equity ratio, market share, GDP, gross savings and lending rate, whereas the narrow measure is explained by equity ratio, market share, size and lending rate. The Global Financial Crisis had a negative effect on liquidity creation as per both the measures, and the impact was more severe for the broad measure as compared to the narrow measure.

This study finds a positive correlation between bank value and liquidity creation which suggests that the investors favourably evaluate banks that create more liquidity. This study is confined to India only.

There is a negative influence of capital on liquidity created by banks, which implies a trade-off that exists between financial stability and liquidity creation. Basel III norms impose higher capital and liquidity standards which will have negative implications for liquidity creation.

To the best of authors’ knowledge, this is the first study in the Indian context that focusses on factors affecting liquidity creation in a dynamic framework and determines the relationship between liquidity creation and market value of a bank.

The purpose of this paper is to investigate the determinants of interest rate in emerging markets, focusing on banking financial institutions in Uganda.

Using the net interest margin model, interest rate was estimated by applying a panel random effects regression method on 24 banks, while controlling for bank-specific factors, industry and macroeconomic indicators. Data were drawn from annual reports provided by Bank of Uganda Depository Corporation survey from 2008 to 2016.

The results indicate that liquidity, equity capital, market power and reserve requirement have a positive effect on interest rate. The study further finds that operational efficiency, lending out ratio, concentration, public sector borrowing and private sector credit have a negative effect on interest rate. However, credit risk does not influence interest rate.

Studied banks are grouped in one panel data set; future studies would focus on the differences in banks and establish how these differences affect interest rate. Future study would also focus on how the determinants of interest rate in Uganda are compared with those of other banks in other emerging market countries.

Bank managers need to take interest in equity mobilization because it is a reliable and cheaper source of funding bank operations. Banks should emphasize efficient operations to reduce on the cost of doing business. Government should utilize funds borrowed from banks in efficient ways to improve economic growth. The central bank should minimize the use of reserve requirement as a means of controlling money in circulation.

This is the first paper that uses annual report data from several banks and periods to investigate the determinants of interest rate in an emerging country.