Pricing Interest-Rate Risk for Mortgage REITs

Using tax-qualified mortgage REITs over three periods (1976-79, 1980-82, and 1983-90), this paper investigates the pricing of interest-rate risk for mortgage REITs at equilibrium. A system of nonlinear equations is estimated to determine the monthly interest-rate risk premium over each of the three time intervals. There is evidence to support the hypothesis that interest-rate risk is not diversifiable and hence commands a risk premium.

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Year of publication:	1995
Authors:	Liang, Youguo ; Webb, James R.
Published in:	Journal of Real Estate Research. - American Real Estate Society. - Vol. 10.1995, 4, p. 461-470
Publisher:	American Real Estate Society

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Notes:	Published
Classification:	L85 - Real Estate Services
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005258698