Geographic focus and systematic risk in REITs

Frutig, Brigitte Silvia (Ecole hôtelière de Lausanne, HES-SO // University of Applied Sciences Western Switzerland) ; Das, Prashant (Ecole hôtelière de Lausanne, HES-SO // University of Applied Sciences Western Switzerland)

We examine how the systematic risk of large commercial real estate owners is associated with geographic diversification. In particular, we analyze time-varying equity betas and geographic exposure of publicly traded pure-play lodging REITs. Contrary to popular expectation, we find that stock investors perceive smaller risk in geographic focus rather than diversification. Further, regional focus becomes insignificant in reducing the risk if the focus expands beyond two or three regions. The findings are robust to multiple measures of geographic diversification. Our study re-affirms the impact of geographic focus in the context of commercial real estate as a risk minimization strategy.


Mots-clés:
Type de conférence:
full paper
Faculté:
Economie et Services
Ecole:
EHL Ecole hôtelière de Lausanne
Classification:
Economie/gestion
Adresse bibliogr.:
Delft, Netherlands, 28 June - 1 July 2017
Date:
Delft, Netherlands
28 June - 1 July 2017
2017
Pagination:
37 p.
Titre du document hôte:
Proceedings of the 24th European Real Estate Society (ERES) Annual Conference 2017
Le document apparaît dans:

Note: The status of this file is: restricted


 Notice créée le 2017-10-27, modifiée le 2018-02-15

Fichiers:
Télécharger le document
PDF

Évaluer ce document:

Rate this document:
1
2
3
 
(Pas encore évalué)