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作者

David C. Ling;Andy Naranjo;Benjamin Scheick

来源

REAL ESTATE ECONOMICS,Vol.47,Issue1,P.263-313

语言

英文

关键字

作者单位

Department of Finance, Insurance, and Real Estate, Warrington College of Business, University of Florida, Gainesville, FL, 32611;Department of Finance, Insurance, and Real Estate, Warrington College of Business, University of Florida, Gainesville, FL, 32611;Department of Finance, Villanova School of Business, Villanova University, Villanova, PA, 19085

摘要

This study examines the sensitivity of equity REIT returns to time‐varying MSA allocations of REIT property portfolios. Using a large sample of individual commercial property holdings, we find significant cross‐sectional and time variation in REIT geographic exposures and the ability of these exposures to explain the cross‐section of REIT returns. We further find evidence consistent with REIT managers being able, on average, to time allocation decisions ahead of MSA outperformance. This effect is most prevalent in non‐gateway markets, varies significantly across MSAs and over time, and is concentrated in financially flexible firms with a more diversified geographic portfolio.