共查询到1条相似文献,搜索用时 0 毫秒
1.
Credit Availability and Asset Pricing Dynamics in Illiquid Markets: Evidence from Commercial Real Estate Markets 下载免费PDF全文
DAVID C. LING ANDY NARANJO BENJAMIN SCHEICK 《Journal of Money, Credit and Banking》2016,48(7):1321-1362
This article examines credit frictions and asset pricing in public and private markets with varying liquidity. We find that a tightening in credit availability is negatively related to subsequent price movements in private and public commercial real estate markets. Assets trading in illiquid segments of these markets are also susceptible to a feedback effect whereby changes in asset prices predict subsequent changes in credit availability. Controlling for investor demand, our findings suggest credit constraints play an economically significant asset pricing role in markets that are both highly levered and relatively illiquid. 相似文献