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Author:Bhasin, Vijay 

Working Paper
Changes in REIT liquidity 1990-94: evidence from intra-day transactions

In this study, we use data on intra-day transactions to analyze whether REIT liquidity as measured by the bid-ask spread changed from 1990 to 1994, a period during which the industry s market capitalization increased from $9 billion to $45 billion. We find that REIT spreads narrowed significantly. We then use a variation of the empirical model proposed by Stoll (1978) to analyze the determinants of percentage spreads including whether spreads are determined by return variability, share price, exchange listing, and asset type. We find strong support for Stoll s model, in that return variance ...
Finance and Economics Discussion Series , Paper 96-22

Working Paper
On the credit risk of OTC derivative users

Finance and Economics Discussion Series , Paper 95-50

Conference Paper
The determinants of corporate loan liquidity

Proceedings , Paper 617

Conference Paper
On the credit risk of OTC derivative users

Proceedings , Paper 554

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