This paper examines an important topic about the performance of securitized real estate by estimating the expected equity risk premium for U.S. Real Estate Investment Trusts-REITs. The estimation of the expected risk premium has been a thorny issue that spans the intersection of real estate...

We develop a theoretical real estate cycles model linking economic fundamentals to real estate income and value. We estimate and test an econometric model specification, based on the theoretical model, using MSA level data for twenty office markets in the United States. Our major conclusion is...