Pricing Interest-Rate Risk for Mortgage REITs

Youguo Liang and James R. Webb ()
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Youguo Liang: The Yarmouth Group, Inc. 10 East 50th Street New York, New York 10022
James R. Webb: Department of Finance and the Real Estate Research Center James J. Nance College of Business Cleveland State University Cleveland, Ohio 44115, http://www.csuohio.edu/finance_department/index.htm

Journal of Real Estate Research, 1995, vol. 10, issue 4, pages 461-470

Abstract: 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.

JEL-codes: L85 (search for similar items in EconPapers)
Date: 1995
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