Local Comovement in REIT Returns: Implications for Portfolio Performance

Christopher Anderson and Eli Beracha

Journal of Real Estate Portfolio Management, 2011, vol. 17, issue 2, 113-125

Abstract: Executive Summary. This study investigates the comovement of monthly returns for securities of real estate investment trusts (REITs) headquartered in the same state. The empirical analysis suggests that securities for REITs headquartered in the same state experience comovement among their market returns, similar to comovement among returns of common stocks of firms headquartered in the same city. However, despite the return comovement among geographically clustered REITs, locally-biased REIT portfolios do not appear to be less efficient than geographically diversified REIT portfolios.

Date: 2011
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/10835547.2011.12089899 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:repmxx:v:17:y:2011:i:2:p:113-125

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/repm20

DOI: 10.1080/10835547.2011.12089899

Access Statistics for this article

Journal of Real Estate Portfolio Management is currently edited by Peng Liu and Vivek Sah

More articles in Journal of Real Estate Portfolio Management from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().