Liang, Youguo; Webb, James R. - In: Journal of Real Estate Research 10 (1995) 4, pp. 461-470
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...