An extensive literature finds that indices of returns on equity real estate investment trusts (REITs) predict return indices in the private commercial real estate (CRE) market. Using a novel geographically weighted proxy for the quarterly performance of the property types within the local markets in which an REIT is invested, or property portfolio return (PPR), we find a “private predicts public” result in a cross-sectional, firm-level context. This finding suggests that geographically dispersed information and investors’ limited attention can delay timely stock price adjustments. Our findings also suggest that it is the diffusion of information about “local” price changes, rather than local supply elasticities, regulatory constraints, the degree of local information risk, current rental income, or local liquidity that predicts REIT returns. The PPRs associated with REIT allocations to major “gateway” markets are more predictive of REIT returns than the PPRs produced by allocations to secondary and tertiary markets. This study improves our understanding of the speed at which “local” information about the perceived productivity of a firm's assets is capitalized into stock prices.

中文翻译：

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资产生产力、本地信息传播和商业地产回报

大量文献发现，股权房地产投资信托 (REIT) 的回报指数可预测私人商业房地产 (CRE) 市场的回报指数。使用一种新颖的地理加权代理来衡量投资 REIT 的当地市场中的房地产类型的季度表现，或房地产投资组合回报 (PPR)，我们发现“私人预测公众”的结果是一个横断面的、坚定的水平上下文。这一发现表明，地理上分散的信息和投资者的有限注意力可能会延迟及时的股价调整。我们的研究结果还表明，预测 REIT 回报的是有关“本地”价格变化的信息传播，而不是本地供应弹性、监管约束、本地信息风险程度、当前租金收入或本地流动性。与分配给主要“门户”市场的 REIT 相关的 PPR 比分配给二级和三级市场的 PPR 更能预测 REIT 回报。这项研究提高了我们对有关公司资产感知生产力的“本地”信息被资本化为股票价格的速度的理解。