Using a unique setting with significant cross‐market information asymmetries and a large sample of individual commercial property holdings, we provide robust evidence showing that local information plays a significant role in the linkage between local asset concentrations and return outperformance. We further document a significant positive relation between local asset concentration and portfolio returns in markets where information asymmetry is most severe. Two novel identification strategies that exploit a local lender's ability to price the local investor's information advantage and exogenous variation in sales price disclosure laws across states confirm an information‐based effect that is distinct from risk‐based or behavioral explanations.

中文翻译：

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没有像家一样的地方：信息不对称，本地资产集中和投资组合收益

通过使用具有显着的跨市场信息不对称性的独特设置以及大量的单个商业地产持有样本，我们提供了有力的证据，表明本地信息在本地资产集中度与回报表现之间的联系中起着重要作用。我们进一步证明，在信息不对称最为严重的市场中，本地资产集中度与投资组合收益之间存在显着的正相关关系。两种利用本地贷方为当地投资者的信息优势定价的能力以及各州销售价格披露法律的外在变化的新颖识别策略，证实了基于信息的效应不同于基于风险或行为的解释。