Abstract
Purpose – The purpose of this paper is to examine market microstructure differences in stock market quality<br>for hospitality real estate investment trusts (REITs) during the pre- and post-financial crisis eras. It provides<br>insight on different trading strategies based on the underlying liquidity and volatility of hospitality REITs as<br>compared traditional REITs and the broader market.<br>Design/methodology/approach – The paper uses established microstructure measures for liquidity,<br>trading volumes and risk assessment and compares daily and intraday trading patterns of REITs, hospitality<br>REITs and the broad market.<br>Findings – The results suggest a quicker recovery of performance for hospitality REITs and some<br>fundamental increases in liquidity measures post-crisis. The results of the study highlight the differences in<br>trading volumes, liquidity and risk profile of hospitality REITs compared to traditional REITs both in the<br>pre- and post-financial crisis periods.<br>Practical implications – The quicker recovery of hospitality REITs in key trading measures may suggest<br>flight to quality during periods of high volatility.<br>Originality/value – This study fills the gap in the literature relative to microstructure studies and provides<br>information to help hotel firms and portfolio managers choose an appropriate organizational structure and<br>investment vehicle, respectively.
| Original language | English |
|---|---|
| Journal | Journal of Property Investment and Finance |
| Volume | 35 |
| Issue number | 3 |
| State | Published - Apr 2017 |