Local Beta: Has Local Real Estate Market Risk Been Priced in REIT Returns?
研究了地方房地产市场风险是否被定价在REIT收益中，发现资产集中度高的REIT其地方风险会提升年收益4.7%，投资者可据此构建多空组合获得4.9%年化非市场收益。
Abstract This paper studies the pricing of the risk associated with the location of the assets. The local real estate market risk is measured by ‘local beta’, which combines the systematic risk of local property markets and the property allocation strategy of real estate firms. The empirical results confirm a higher equity return for a firm with higher exposure to the most volatile property markets, particularly for REITs which are more geographically concentrated. For REITs with highly diversified assets, local real estate risks are not reflected in REIT returns. For those REITs with most concentrated assets, a one standard deviation increase in the local beta will lead to a 4.7% increase in the annual return. Investors can use REITs’ local real estate risk as an information tool to construct a long-short investment portfolio of real estate firms and can achieve a significant non-market performance of 4.9% per annum.