We examine co-movements in private commercial real estate index returns and market liquidity in the US (apartment, office, retail) and for eighteen global cities, using data from Real Capital Analytics over the period 2005–2018. Our measure of market liquidity is based on the difference between supply and demand price indexes. We document for all analyzed markets much stronger commonalities in changes in market liquidity compared to commonalities in real price index returns. We further provide empirical evidence that space markets are less integrated than capital markets by analyzing co-movements in net-operating-income and cap rate spreads (over similar maturity bond yields). In a theoretical simulation model, we show that the strong integration of capital markets compared to space markets, is in fact the reason why market liquidity co-moves so strongly compared to returns. Our results are of interest for large private real estate investors such as pension funds and other institutional investors who are interested in spreading risk. Our findings imply that fully diversified price return benefits may be difficult to obtain, because market liquidity may dry up in all markets simultaneously, which makes portfolio re-balancing more difficult and costly.

我们使用 Real Capital Analytics 在 2005 年至 2018 年期间的数据，研究了美国（公寓、写字楼、零售）和全球 18 个城市的私人商业房地产指数回报和市场流动性的联动性。我们衡量市场流动性的依据是供求价格指数之间的差异。与实际价格指数回报的共性相比，我们记录了所有分析市场在市场流动性变化方面的更强共性。我们通过分析净营业收入和资本利率利差（类似到期债券收益率）的联动进一步提供了实证证据，表明太空市场的整合程度低于资本市场。在理论模拟模型中，我们表明与太空市场相比，资本市场的强整合，事实上，这就是为什么与回报相比，市场流动性联动如此强烈的原因。我们的结果对大型私人房地产投资者感兴趣，例如养老基金和其他对分散风险感兴趣的机构投资者。我们的研究结果表明，完全多元化的价格回报收益可能难以获得，因为所有市场的市场流动性可能同时枯竭，这使得投资组合的重新平衡更加困难和成本高昂。