This paper uses the 2003 Hong Kong Severe Acute Respiratory Syndrome (SARS) epidemic as a natural experiment to investigate how housing markets react to extreme events. An analysis of transaction volume suggests that the absence of price overreaction is likely to be related to housing market...

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...