This dissertation explores several issues regarding the role of market liquidity in real estate assets, in particular for the Dutch residential and U.S. commercial real estate markets. Three main topics are addressed throughout all chapters. The first topic concerns the development of new ways to measure real estate market liquidity. The second topic addresses the link between changes in market liquidity and price developments. The third topic focusses on how market liquidity can be used by policymakers and market participants to get a better grasp on real estate markets.