Discussion of

"Liquidity Mechanisms in DeFi: Design and Fragmentation in Illiquid RWA Markets"

by Ralf Laschinger, Heiko Leonhard, Gregor Dorfleitner, and Wolfgang Schäfers

 

Discussant: Katya Malinova

DeGroote School of Business, McMaster University

CBER 6th Annual Conference · June 4–5, 2026
New York University, New York, NY, USA

  • US real estate: $55T
  • REITs: $1.4T
  • tokenized: ~$0

June 2, 2026 updated version of a Chainalysis blog figure

Market cap growth of tokenized RWA asset classes - to $1 Billion

Not all RWAs are created equal

… nor supposed to — Cong, Mayer & Rabetti (2026):

Different tokenization goals

Integration

already-liquid assets join the on-chain ecosystem

Enhance transferability

creating a secondary market 

 

This paper's focus

Six-year stats:

  • 752 rental properties
  • ~9,200 wallets
  • 777,038 trades — ≈ $50 each
  • $41M — $9K per property/yr

REITs democratized access in 1960. What do tokens add (undo)?

Problem REIT Property token
Huge lot size → fractional claims ✓ ✓✓  $50 of a house
Hard to trade, limited access → democratize access ✓ ✓✓  anyone*, anywhere*
Locked-in capital → tradability ~ ✓ ✓✓  24/7
Idiosyncratic risk → pooling ✓ ~ ✓ DIY 
Hands-on management → professional, monitored mgmt ✓ ~  outsourced but who monitors?
Unverified valuation → audited disclosure ✓ ~  issuer-reported, periodic 

Transferrable? And where? AMM, P2P, or Buyback?

  • Sorting?
    • AMM = small, P2P = large
    • LOB vs "upstairs" (blocks)
    • venue pecking order: Menkveld, Yueshen & Zhu 2017 JFE (execution vs cost)
  • Or: winner takes all?
    • liquidity begets liquidity → one venue (Pagano 1989 QJE)
  • Here: looks like one venue winning

Is this bad news for AMMs? Not necessarily ...

  • AMM design — active research.
  • **E.g. on LP compensation (= AMM fee):
    • Hasbrouck, Rivera & Saleh (MS 2026):
      • ↑ fee → deeper pool → ↓ price impact → ↑ volume
    • Malinova and Park 2026 "Learning from DeFi ...":
      • AMM fee ∝ σ · √(q/V) — ↑ volatility, ↓ volume
  • Here: 0.25%, hardcoded
  • AMM fees not enough compensation → issuer pays incentives to LPs
    • incentives stop → liquidity gone (not unique to AMM ... Park & Stinner 2026, DeFi lending)

**with apologies to the many others in this literature, many in this room

... But: is Real Estate built for 24/7 trading?  (after Fig. 2 Cong, Mayer & Rabetti WP)

Asset value adjustment speed ↑

Underbuilt

Permissioned wholesale pilots on liquid assets

Integration benefits forgone

 

Well matched (fast)

Tokenized Treasuries, equities

 

 

Well matched (slow)

Closed-end, gated, or lock-up tokenized illiquid vehicles

 

Speed-mismatched - liq transformation

Real Estate!

Buy&Hold in normal times - run risk under stress (Blackstone REIT: gated withdrawals 2022–23)

corp. bond ETFs — same mismatch, but professionally managed: Koont, Ma, Pástor & Zeng, RFS 2025

Trading speed →

But: corp bonds are very liquid in a Tel-Aviv LOB (Abudy & Wohl, RoF 2018). Why?

Transparent ownership, Opaque control

July 2025: TRO — rent → escrow, Buyback suspended

  • Paper: "a shock to the redemption facility"
    • but — also news about the asset itself!
    • can we disentangle? The size split helps (?)
    • spreads widen for large, narrow for small 

More questions arise:

  • dispersed ownership — agency problem?
  • a mechanism against tokenized lemons?

Mortgage Professional America, July 7, 2025

Added ex post (web version): two papers I learned of only after the session, both directly relevant:

• Augustin, Chen, Qian & Shin (2025), From Bricks to Blocks: Tokenization and the Financialization of Real Estate

• Chemla & Tinn (2026), Digital Ownership: The Tokenization of Real-World Assets

Better rails don't automatically createreinvent
liquidity, information, nor governance.

Very nice paper.

Go read it.