HOUSING MARKET RISK PREMIA: EMPLOYING FAMA AND MACBETH TWO PASS REGRESSION METHODS ON SWEDISH DATA

Abstract: House returns in most Swedish regions are exposed to changes in real interest rate and in real earnings growth. In some regions house returns are exposed to changes in gross domestic product and in the oil price. We are not able to draw any reliable conclusions regarding risk premia in the Swedish housing market. Nevertheless, we find indications that the real interest rate carries risk premium. Stronger evidence of risk premia could perhaps be found if a larger data set was used in cross section. Furthermore, we find indications of the Swedish housing market being inefficient and our results suggest that there potentially are no considerable risk premia present.