Abstract
Executive Summary. This study investigates the comovementof monthly returns for securities of real estateinvestment trusts (REITs) headquartered in the samestate. The empirical analysis suggests that securities forREITs headquartered in the same state experience comovementamong their market returns, similar to comovementamong returns of common stocks of firmsheadquartered in the same city. However, despite the returncomovement among geographically clusteredREITs, locally-biased REIT portfolios do not appear tobe less efficient than geographically diversified REITportfolios.
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