Systematic Risk and Diversification in the Equity REIT Market
利用股票市场数据，研究了公开交易的权益型房地产投资信托（REITs）的系统风险和分散化特性，发现按物业类型划分的系统风险存在差异，且跨物业类型或地理区域的分散化并未带来显著效果。
This paper employs stock market‐based data to examine the systematic risk and diversification properties of publicly traded equity real estate investment trusts (REITs). A unique data sample is created by combining firm return data with information on their property type holdings and the location of their investments. The systematic risk of equity REITs appears to vary by the type of property in which they invest, with beta being significantly higher for retail‐oriented REITs than for REITs owning industrial and warehouse properties. In addition, the stock market data provides no evidence that REIT diversification across property types or broad geographic regions actually results in meaningful diversification as reflected in a standard market‐based measure—the R 2 from a simple market model regression.