IDEAS home Printed from https://ideas.repec.org/a/taf/repmxx/v17y2011i2p113-125.html

Some searches may not work properly. We apologize for the inconvenience.

   My bibliography  Save this article

Local Comovement in REIT Returns: Implications for Portfolio Performance

Author

Listed:
  • Christopher Anderson
  • Eli Beracha

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.

Suggested Citation

  • Christopher Anderson & Eli Beracha, 2011. "Local Comovement in REIT Returns: Implications for Portfolio Performance," Journal of Real Estate Portfolio Management, Taylor & Francis Journals, vol. 17(2), pages 113-125, January.
    • Handle: RePEc:taf:repmxx:v:17:y:2011:i:2:p:113-125
    DOI: 10.1080/10835547.2011.12089899
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/10835547.2011.12089899
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/10835547.2011.12089899?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:repmxx:v:17:y:2011:i:2:p:113-125. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/repm20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.