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*May 2016
*Credit Availability and Asset Pricing Dynamics in Illiquid Markets: Evidence from Commercial Real Estate Markets
*DAVID C. LING, ANDY NARANJO, AND BENJAMIN SCHEICK
* 
*You can replicate the main results of our paper by using:
*
* (1) Data files: (1) private_market_analysis.txt, (2)public_market_analysis.txt, (3) public_market_lev_liq_sort.txt, and (4) reit_preferred_issuance_list.txt
* (2) STATA Code (in txt format): MS13-288 text file
*
*The data in private_market_analysis.txt and public_market_analysis.txt are time series data in which the unique time series variable is qtr_num.The data in public_market_lev_liq_sort.txt is at the firm level and includes firm-quarter observations. The data in reit_preferred_issuance_list.txt contains the distribution of preferred equity issuances by firm. 
*Please read the paper for a full description of the data and how the variables were collected and defined.
*
*Below you can find descriptions of the key variables in our analsyis. 
*
* -David Ling, Andy Naranjo, and Benjamin Scheick, May 2016
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Variable                Variable Description
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tbiret                  Natural log of the quarterly percentage change in the aggregate TBI price index
tighten                 Net percentage of loan officers reporting a tightening of lending standards on commercial real estate loans in the Federal Reserve Boards Senior Loan Officer Opinion Survey on Bank Lending Practices 
propsold                Percentage of properties sold from the NCREIF NPI index each quarter
sent                    The first principal component extracted from investment condition survey responses pertaining to eight property types that are published quarterly by the Real Estate Research Corporation (RERC) in the Real Estate Report
tightena                Constructed from survey data published by the Real Estate Research Corporation (RERC) in its quarterly Real Estate Report. RERC survey respondents are asked to rank the current availability of capital for investment on a scale of 1 to 10, with 1 indicating poor capital availability and 10 indicating excellent access to capital. The RERC measure is transformed to be consistent with the definition of tighten by taking the additive inverse, centering the series on zero, and expressing values as a percentage
cmbs                    Dollar issuance (in billions) of commercial mortgage backed securities in the U.S. each quarter
bankliq                 Quarterly value-weighted index of bank liquidity creation constructed using Berger and Bouwmans (2009) preferred measure of bank liquidity creation  for each bank in their sample 
margin                  Initial margin amount requirement for purchase of one unit of an S&P 500 futures contract expressed as a percentage of the level of the S&P 500 index 
catfin                  Aggregate measure of systemic risk in the financial sector (see Allen, Bali, and Tang, 2012 for description)
mtgflow                 Net commercial mortgage flow reported by the Federal Reserve Flow of Funds Accounts scaled as a percentage of GDP
tbill                   Yield on the 3-month US Treasury security
termspread              Slope of the term structure of interest rates
defspread               Spread between yields on BAA rated and AAA rated corporate bonds
infla                   Quarterly percentage change in the CPI
mkt                     Market return (Rm-Rf) factor obtained from Kenneth French's website
smb                     SMB (Small minus Big) factor obtained from Kenneth French's website
hml                     HML (High minus Low)  factor obtained from Kenneth French's website
umd                     Momentum factor obtained from Kenneth French's website
ps_liq                  Pastor and Stambaugh's liquidity factor
caprt                   Aggregate capitalization rate for commercial properties
reitret                 Natural log of the quarterly appreciation component of the return on the FTSE NAREIT Equity Index
reitliq                 Natural log of a value-weighted index constructed from the daily ratio of absolute stock return to dollar volume, averaged over the quarter in which shares were traded. 
divyld                  Value-weighted dividend yield on our sample of equity REITs
tedspread               Difference between the three-month LIBOR and three-month Treasury bill interest rates
leverage                Total debt / (total debt plus equity)
hilev_hiliq_ret         Value-weighted return on portfolio of high leverage, high liquidity Equity REITs
hilev_loliq_ret         Value-weighted return on portfolio of high leverage, low liquidity Equity REITs 
lolev_loliq_ret         Value-weighted return on portfolio of low leverage, low liquidity Equity REITs
lolev_hiliq_ret         Value-weighted return on portfolio of low leverage, high liquidity Equity REITs
hilev_hiliq_liq         Natural log of a value-weighted index constructed from the daily ratio of absolute stock return to dollar volume, averaged over the quarter in which shares were traded for our portfolio of high leverage, high liquidity Equity REITs
hilev_loliq_liq         Natural log of a value-weighted index constructed from the daily ratio of absolute stock return to dollar volume, averaged over the quarter in which shares were traded for our portfolio of high leverage, low liquidity Equity REITs 
lolev_loliq_liq         Natural log of a value-weighted index constructed from the daily ratio of absolute stock return to dollar volume, averaged over the quarter in which shares were traded for our portfolio of low leverage, low liquidity Equity REITs
lolev_hiliq_liq         Natural log of a value-weighted index constructed from the daily ratio of absolute stock return to dollar volume, averaged over the quarter in which shares were traded for our portfolio of low leverage, high liquidity Equity REITs
reitpref                Natural log of a quarterly valueweighted price index for REIT preferred securities constructed with data from Thomson Reuters Datastream 
reitpr_liq              Amihud Liquidity measure for the value-weighted portfolio of REIT preferred equity securities
reitpr_divyld           Value-weighted dividend yield for our portfolio of REIT preferred equity securities 
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