Asset Location, Timing Ability and the Cross‐Section of Commercial Real Estate Returns
研究了房地产投资信托（REIT）经理能否通过调整不同城市（MSA）的资产配置来获得超额回报，发现他们总体上能提前布局表现较好的市场，尤其在非门户城市和财务灵活的公司中更明显。
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.