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Performance differences in property-type diversified versus specialized real estate investment trusts (REITs)

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  • Benefield, Justin D.
  • Anderson, Randy I.
  • Zumpano, Leonard V.
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    Abstract

    Evidence from the corporate finance literature indicates that diversified firms trade at a discount to otherwise comparable specialized firms. However, very little research has addressed whether a similar diversification discount might exist in equity REITs that diversify across property types relative to those specializing in one property type. Using a sample of 75 equity REITs, the existence of a property-type diversification discount is tested using standard Jensen's Alpha, Treynor Index, and Sharpe Ratio performance ranking methodologies over four commonly employed market proxies. Several variations of these standard tests are also utilized as robustness checks.

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    Bibliographic Info

    Article provided by Elsevier in its journal Review of Financial Economics.

    Volume (Year): 18 (2009)
    Issue (Month): 2 (April)
    Pages: 70-79

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    Handle: RePEc:eee:revfin:v:18:y:2009:i:2:p:70-79

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    Web page: http://www.elsevier.com/locate/inca/620170

    Related research

    Keywords: REITs Property-type diversification Performance rankings;

    References

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    Cited by:
    1. James Chong & Alexandra Krystalogianni & Simon Stevenson, . "Dynamic Correlations across REIT Sub-Sectors," Real Estate & Planning Working Papers rep-wp2011-07, Henley Business School, Reading University.
    2. James Chong & Alexandra Krystalogianni & Simon Stevenson, 2012. "Dynamic correlations between REIT sub-sectors and the implications for diversification," Applied Financial Economics, Taylor & Francis Journals, vol. 22(13), pages 1089-1109, July.

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