A Comparison of International Residential Housing Risk Premia

20 Pages Posted: 8 Jul 2011

See all articles by Grace Wong Bucchianeri

Grace Wong Bucchianeri

University of Pennsylvania - Real Estate Department

Christian Julliard

London School of Economics & Political Science (LSE) - Department of Finance; Centre for Economic Policy Research (CEPR)

Date Written: June 2006

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.

Keywords: International housing markets, Housing risk premium, politics, zoning

JEL Classification: R21, R31, R14

Suggested Citation

Bucchianeri, Grace Wong and Julliard, Christian, A Comparison of International Residential Housing Risk Premia (June 2006). Available at SSRN: https://ssrn.com/abstract=1881689 or http://dx.doi.org/10.2139/ssrn.1881689

Grace Wong Bucchianeri (Contact Author)

University of Pennsylvania - Real Estate Department ( email )

Philadelphia, PA 19104-6330
United States

Christian Julliard

London School of Economics & Political Science (LSE) - Department of Finance ( email )

United Kingdom

Centre for Economic Policy Research (CEPR) ( email )

London
United Kingdom

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