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.
Volume (Year): 10 (1995)
Issue (Month): 4 ()
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- K. C. Chan & Patric H. Hendershott & Anthony B. Sanders, 1990.
"Risk and Return on Real Estate: Evidence from Equity REITs,"
Real Estate Economics,
American Real Estate and Urban Economics Association, vol. 18(4), pages 431-452.
- K.C. Chan & Patric H. Hendershott & Anthony B. Sanders, 1990. "Risk and Return on Real Estate: Evidence from Equity REITs," NBER Working Papers 3311, National Bureau of Economic Research, Inc.
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- Ross, Stephen A., 1976. "The arbitrage theory of capital asset pricing," Journal of Economic Theory, Elsevier, vol. 13(3), pages 341-360, December.
- K.C. Chen & Daniel D. Tzang, 1988. "Interest-Rate Sensitivity of Real Estate Investment Trusts," Journal of Real Estate Research, American Real Estate Society, vol. 3(3), pages 13-22.
- Willard McIntosh & Youguo Liang & Daniel L. Tompkins, 1991. "An Examination of the Small-Firm Effect within the REIT Industry," Journal of Real Estate Research, American Real Estate Society, vol. 6(1), pages 9-18.
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