Summary

This dissertation, titled “Three Essays on Real Estate Prices and Liquidity”, investigates the relationship between asset prices and liquidity in real estate markets. The first essay examines how the cost of holding an asset during the period between contract signing and final delivery is priced into residential real estate transactions. It finds that this cost is endogenously compensated through the transaction price, and the level of compensation is determined by the relative bargaining power of buyers and sellers. The second essay studies the illiquidity premium in non-listed real estate funds, showing that the value of bearing illiquidity is priced into returns for this asset class. The third essay contributes to the literature on the interaction between delinquency rate, funding liquidity, market liquidity and asset prices, demonstrating that credit risk plays a critical role in shaping commercial real estate prices under liquidity constraints.