Liquidity Risks and Expected REIT Return

Liquidity measures, such as bid-ask spread, have always influenced the required return of a security significantly. Since the investment objective of REIT is mostly related to real estates, the REITs market, in particular, stresses the importance of asset liquidity even more. This study tries to investigate whether liquidity factor is an important variable when pricing the REIT stocks. The research result should hopefully serve to improve the understanding of REIT market and encourage its future development.