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作者

来源

REAL ESTATE ECONOMICS,Vol.47,Issue1SI,P.263-313

语言

英文

关键字

MARKET; RISK; DIVERSIFICATION; TIME; PERFORMANCE

作者单位

[Ling, David C.; Naranjo, Andy] Univ Florida, Dept Finance Insurance & Real Estate, Warrington Coll Business, Gainesville, FL 32611 USA. [Scheick, Benjamin] Villanova Univ, Villanova Sch Business, Dept Finance, Villanova, PA 19085 USA. Ling, DC (reprint author), Univ Florida, Dept Finance Insurance & Real Estate, Warrington Coll Business, Gainesville, FL 32611 USA. E-Mail: ling@ufl.edu; andy.naranjo@warrington.ufl.edu; benjamin.scheick@villanova.edu

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.