Artikel
Information-based trade in German real estate and equity markets
This paper employs four established market microstructure measures on information-based trade in financial markets. A set of German mid and small caps is used to analyze potential differential information content in real estate stocks compared to other asset classes. After linking substantially lower amounts of information-based trade in real estate stocks to higher liquidity premia, it is found that the evolution of the information content in real estate and other assets follows similar trends. Consequently, interdependence is tested for rolling time windows, revealing strong informational links between real estate and other assets. Particularly, small caps, financials, as well as companies offering consumer goods and services show a close relationship to real estate. Depending on the choice of the measure of information-based trade, up to 75% of the variation in the information content in real estate shares is related to other asset classes, pointing to the notion of high dependence.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Risks ; ISSN: 2227-9091 ; Volume: 3 ; Year: 2015 ; Issue: 4 ; Pages: 573-598 ; Basel: MDPI
- Klassifikation
-
Wirtschaft
General Equilibrium and Disequilibrium: Financial Markets
Asymmetric and Private Information; Mechanism Design
Information and Market Efficiency; Event Studies; Insider Trading
Real Estate Markets, Spatial Production Analysis, and Firm Location: General
- Thema
-
information-based trade
real estate
illiquidity
roll
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Wölfle, Marco
- Ereignis
-
Veröffentlichung
- (wer)
-
MDPI
- (wo)
-
Basel
- (wann)
-
2015
- DOI
-
doi:10.3390/risks3040573
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Wölfle, Marco
- MDPI
Entstanden
- 2015
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