Our research investigates the roles of economic uncertainty, economic policy uncertainty, and climate policy uncertainty in explaining the cross-sectional returns of Real Estate Investment Trusts (REITs) in the U.S. market. We construct univariate-sorted portfolios to test whether portfolios composed of low-exposure REITs outperform those with high exposure. Additionally, we run rolling-based Fama-MacBeth regressions to quantify the risk premium associated with each type of uncertainty. Our results indicate that economic uncertainty is a systematic risk priced into future REIT returns, while economic policy uncertainty and climate policy uncertainty fail to consistently predict future cross-sectional REIT returns. Our results suggest that REIT investors are more responsive to real economic shocks, while exhibiting limited reaction to economic and climate policy shocks.