Does Home Expertise Exist in Equity REITs?

Xiaorong Zhou and Vivek Sah

Journal of Real Estate Portfolio Management, 2009, vol. 15, issue 3, 281-288

Abstract: Executive Summary. Using a sample of 58 Equity Real Estate Investment Trusts (EREITs) with geographic area specialization from 1994 to 2006, this study examines if EREITs concentrating their investment geographically could be able to generate abnormal returns due to home expertise. Based on the risk adjustment by Carhart's (1997) four-factor model, only REITs with geographical concentration in the Mideast and Northeast generate abnormal returns during the sample time period. However, with the robustness check, the abnormal return disappears. This paper therefore cautions the biased findings due to model misspecification problem and suggests that the REIT sector is generally functioning in an efficient fashion.

Date: 2009
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DOI: 10.1080/10835547.2009.12089854

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