predictive variable. On data from 18 OECD countries we generally find return predictability in accordance with time-varying risk …We conduct a comprehensive international study of predictability in housing markets using the rent-price ratio as a …

This paper investigates the risk-return relationship in determination of housing asset pricing. In so doing, the paper … by examining the impact of additional risk factors including aggregate stock market returns, idiosyncratic risk, momentum … measures of risk and other housing market fundamentals. Additional tests of the validity of the model using the Fama …

homeowners are compensated for bearing housing risk. Our sample covers more than 9,000 zip codes across 135 metropolitan … investment good properties with significant heterogeneity across MSAs in terms of which risk factors are priced. Local and …