The overarching themes of our paper are to calibrate the risk premium relative to the speculative risk parameters in capital markets and to analyze the pre-and post-recession patterns in the U.S. lodging portfolios from 2000 to 2016. We decompose several risk parameters speculated by the markets and risk-adjusted proxies to make solid judgments about the anomalies in excess return patterns and risk-reward trade-off calibration in our annualized heterogeneous portfolio sorts. Our primary findings reveal that our portfolio sorts did not return the efficient premium to the investors, as they should have been based on the speculative risk levels before the recession. However, after the recession, there was a correction in this pattern. Lastly, speculative risk-adjusted proxies and risk parameters generally co-move with the value-weighted benchmark.