Do Common Risk Factors in the Returns on Stocks and Bonds Explain Returns on REITs?
分析了1976年7月至1992年12月期间权益型和抵押型REITs的月度收益，发现权益型REITs的风险溢价与股票市场组合及规模、账面市值比因素显著相关，抵押型REITs还与债券市场因素相关，且其年化表现平均低6.8%。
The monthly returns on equity and mortgage real estate investment trusts (REITs) are analyzed over the period July 1976 to December 1992. The results indicate that risk premiums on equity REITs are significantly related to risk premiums on a market portfolio of stocks as well as to the returns on mimicking portfolios for size and book‐to‐market equity factors in common stock returns. Mortgage REIT risk premiums are significantly related to the three stock market factors and two bond market factors in returns. Also, mortgage REIT shares underperform by an average of 6.8% per year.