This paper examines how the systematic risk of large commercial real estate owners is associated with geographic diversification. It analyzed time-varying equity betas and geographic exposure of publicly traded pure-play lodging REITs. Contrary to popular expectation, results of this study showed that stock investors perceive smaller risk in geographic focus rather than diversification. Further, regional focus becomes insignificant in reducing the risk if the focus expands beyond two or three regions. The findings were robust to multiple measures of geographic diversification. As such, the study reaffirmed the impact of geographic focus in the context of commercial real estate as a risk minimization strategy.