Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/178620
Authors: 
Rehse, Dominik
Riordan, Ryan
Rottke, Nico
Zietz, Joachim
Year of Publication: 
2018
Series/Report no.: 
ZEW Discussion Papers 18-024
Abstract: 
We test the effects of uncertainty on market liquidity using Hurricane Sandy as a natural experiment. Given the unprecedented strength, scale and nature of the storm, the potential damages of a landfall near the Greater New York area were unpredictable and therefore uncertain. Using a difference-in-differences setting, we compare the market reactions of Real Estate Investment Trusts (REITs) with and without properties in the widely-published evacuation zone of New York City prior to landfall. We nd relatively less trading and wider bid-ask spreads in affected REITs. The results confirm theory on the detrimental effects of uncertainty on market functioning.
Subjects: 
Uncertainty
liquidity
financial crisis
natural experiment
JEL: 
G12
G14
Document Type: 
Working Paper
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