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...

This study proposes the housing "beta" and tests whether the housing "beta" is a significant determinant for stock returns in a multifactor framework. We hypothesize that the housing market is a systematic risk factor given the impact of the housing market on the overall economy and economics...

We combine the standard Campbell and Shiller (1988) present-value model with the classical user cost of housing model to decompose the rental yield into three components: expected future rent growth, cost of capital and risk premium of owning versus renting. We then apply a quarterly dataset of...

This study analyzes the rent term premium for leases that can be cancelled by the lessee. We model the lessor's trade-off between leasing costs and the cost of cancellation options based on the recognition that many leases are cancellable by lessees, and lease markets involve significant...

How did pricing for mortgage credit risk change during the years prior to the 2008 financial crisis? Using a database from a major American bank that served as trustee for private-label mortgage-backed securitized (PLS) loans, this paper identifies a decline in credit spreads on mortgages...

Using a panel logit framework, the paper provides an estimate of the likelihood of a house price correction in 18 OECD countries. The analysis shows that a simple measure of the degree of house price overvaluation contains a lot of information about subsequent price reversals. Corrections are...

We propose the condemnation risk discount theory, whereby home buyers deduct a discount from housing prices in the absence of insurance against the risk that the government will condemn their property for private transfer. Homeowners cannot separate out the negative risk that their home will be...