Spatial Filtering: Concentration or Dispersion of NCREIF Institutional Investment

Leon Shilton () and Graig Stanley
Additional contact information
Leon Shilton: Graduate School of Business Fordham University Lincoln Center New York, New York 10023, http://www.bnet.fordham.edu/public/default.htm
Graig Stanley: School of Business School of Business California State University, Sacramento Sacramento, California 95819, http://www.csus.edu/sba/

Journal of Real Estate Research, 1995, vol. 10, issue 5, 569-582

Abstract: Investors seeking to construct a portfolio of real estate properties wrestle with the trade-off between the benefits of wide-area spatial diversification versus the benefits of efficient management of properties within a small area. This study traces the acquisition and holding patterns of five types of unleveraged properties at the county level of NCREIF investors for the years 1985 and 1993. The results suggest that these investors believe they capture the systematic risk of the national real estate portfolio and sufficiently diversify away the unsystematic risk by concentrating their holdings within a small core of counties. In 1993 NCREIF investors had 45% of their holdings in fifteen counties that had 15% of the nation's population and employment.

JEL-codes: L85 (search for similar items in EconPapers)
Date: 1995
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