In this paper, information processing in spot and forward freight markets with respect to the Organization of the Petroleum Exporting Countries (OPEC) output announcements is investigated. We use the event study methodology to study returns in tanker freight spot and forward markets around OPEC...

In this study, we are the first to analyze the illiquidity premia and their effect on the expected returns of German real estate securities. We show that illiquidity plays an important role in expected returns for real estate stocks and investment trusts (REITs), but have less clear effects on...