Asset Location, Timing Ability and the Cross‐Section of Commercial Real Estate Returns

51 Pages Posted: 20 Feb 2019

See all articles by David C. Ling

David C. Ling

University of Florida - Warrington College of Business Administration

Andy Naranjo

University of Florida

Benjamin Scheick

Villanova University - Department of Finance

Multiple version iconThere are 2 versions of this paper

Date Written: Spring 2019

Abstract

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.

Suggested Citation

Ling, David Curtis and Naranjo, Andy and Scheick, Benjamin, Asset Location, Timing Ability and the Cross‐Section of Commercial Real Estate Returns (Spring 2019). Real Estate Economics, Vol. 47, Issue 1, pp. 263-313, 2019, Available at SSRN: https://ssrn.com/abstract=3335362 or http://dx.doi.org/10.1111/1540-6229.12250

David Curtis Ling (Contact Author)

University of Florida - Warrington College of Business Administration ( email )

P.O. Box 117168
Gainesville, FL 32611
United States
352-392-9307 (Phone)
352-392-0301 (Fax)

Andy Naranjo

University of Florida ( email )

Gainesville, FL
United States

Benjamin Scheick

Villanova University - Department of Finance ( email )

United States

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