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Risks 2015, 3(4), 573-598; doi:10.3390/risks3040573

Information-Based Trade in German Real Estate and Equity Markets

Center for Real Estate Studies, Steinbeis University Berlin, Eisenbahnstrasse 56, 79098 Freiburg, Germany
Received: 15 May 2015 / Accepted: 25 November 2015 / Published: 7 December 2015
(This article belongs to the Special Issue Information and market efficiency)
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Abstract

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. View Full-Text
Keywords: information-based trade; real estate; illiquidity; roll; D53; D82; G14; R30 information-based trade; real estate; illiquidity; roll; D53; D82; G14; R30
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. (CC BY 4.0).

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Wölfle, M. Information-Based Trade in German Real Estate and Equity Markets. Risks 2015, 3, 573-598.

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