A Comparison of International Residential Housing Risk Premia
20 Pages Posted: 8 Jul 2011
Date Written: June 2006
This paper contributes to this debate on the substantial risk-adjusted returns to real estate by first constructing a panel of housing risk premia for 13 OECD countries over a long sample period (1966: Q3 to 2004:Q4), and then exploring the relationship of these risk premia to changes in the financial market depth, equity market activities, property tax system, urbanization, zoning regulations and political orientation of the government. By comparing the experiences of housing markets in various developed countries, this paper adds to our understanding of what constitutes the real estate risk premium.
Keywords: International housing markets, Housing risk premium, politics, zoning
JEL Classification: R21, R31, R14
Suggested Citation: Suggested Citation