Location density, systematic risk, and cap rates: Evidence from REITs
研究美国权益型REITs物业组合的地理特征，发现高密度地区物业租金增长更快、系统性风险更高，且隐含资本化率更低，说明位置密度是影响REITs投资表现的重要因素。
Abstract A property's location is often considered to be the ultimate determinant of its investment performance. But how exactly does a property's location influence its risk and return? We focus on the effects of location density on the risk and return of commercial real estate investments. We do this by studying the geographical characteristics of the property portfolios of U.S. equity Real Estate Investment Trusts (REITs). We show that REITs with property holdings in high‐density locations experience higher rental growth and carry higher systematic risk than their otherwise comparable peers in low‐density locations. Consistent with those higher rental growth rates, high‐density REITs also have lower implied cap rates. Our results suggest that location density is an important determinant of REIT performance outcomes, implying that geographical characteristics can drive investment risk and return across commercial real estate markets.