Asset Location, Timing Ability and the Cross‐Section of Commercial Real Estate Returns
51 Pages Posted: 20 Feb 2019
There are 2 versions of this paper
Asset Location, Timing Ability, and the Cross-Section of Commercial Real Estate Returns
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: Suggested Citation
Do you have a job opening that you would like to promote on SSRN?
Asset Location, Timing Ability and the Cross‐Section of Commercial Real Estate Returns
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $42.00 .
File name: REEC.pdf
Size: 0K
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
