This study investigates the comovement of monthly returns for securities of real estate investment trusts (REITs) headquartered in the same state. The empirical analysis suggests that securities for REITs headquartered in the same state experience comovement among their market returns, similar to comovement among returns of common stocks of firms headquartered in the same city. However, despite the return comovement among geographically clustered REITs, locally-biased REIT portfolios do not appear to be less efficient than geographically diversified REIT portfolios.
