Real estate is a local phenomenon, and being the quintessential local industry much of the information real estate investors gather about surrounding markets is also acquired in situ. Because information flows are spatially bounded, knowledge asymmetries may provide local investors with the opportunity to exploit persisting market inefficiencies. This study is the first to model commercial real estate investment-returns with respect to local information advantages. To test for these advantages data on the distances between 397 offices and over 20,000 properties of 45 US REITs between 2001 and 2005 are used to create an index for the effective average distance between properties and their closest office. This index is then compared with the cumulative rates of return for each REIT-year. Although it is found that this unique dataset is consistent with the existence of localized return advantages in real estate markets, the inability to adequately control for potentially biasing factors casts doubt on the accuracy of these findings.