Abstract
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.
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