Thomas Walther receives the „Financial Markets and Portfolio Management“ Journal Best Paper Award 2022

Thomas Walther receives the best paper award for the article 𝙀𝙢𝙥𝙞𝙧𝙞𝙘𝙖𝙡 𝙖𝙣𝙖𝙡𝙮𝙨𝙞𝙨 𝙤𝙛 𝙩𝙝𝙚 𝙞𝙡𝙡𝙞𝙦𝙪𝙞𝙙𝙞𝙩𝙮 𝙥𝙧𝙚𝙢𝙞𝙖 𝙤𝙛 𝙂𝙚𝙧𝙢𝙖𝙣 𝙧𝙚𝙖𝙡 𝙚𝙨𝙩𝙖𝙩𝙚 𝙨𝙚𝙘𝙪𝙧𝙞𝙩𝙞𝙚𝙨  co-authored by Thomas Paul and Prof. Dr. André Küster Simic. The annual prize is awarded since 2005 and was presented at the annual conference of the Swiss Society for Financial Management Research in Zurich on March 31, 2023. 

The authors analyzed illiquidity premia and their effect on the expected returns of German real estate securities using a unique data set that includes real estate stocks, real estate investment trusts (REITs), and open- and closed-end real estate funds for 2003–2017. The authors examine the relationship between expected returns and illiquidity and the effects of expected and unexpected market illiquidity on future returns. The study finds that illiquidity has a strong positive cross-sectional relationship with the future returns of real estate stocks and REITs. The analysis of the impact of unexpected illiquidity on future returns resulted in diverse findings. Furthermore, the results provide evidence of structural breaks in the relationship between returns and illiquidity.