... of neighborhoods in what the authors denote as “a medium sized metropolitan area.” Pompe (2008) find property owners pay an 18.6% premium for properties within a gated community in South Carolina. LaCour-Little and Malpezzi (2009) report a 13% price premium for houses in St Louis and a price premium ranging...

... suggests very low risk and unexplained excess returns. However, many academics suggest the residential real estate market is unique and standard asset pricing models may not fully capture the risk associated with the housing market. The purpose of this paper is to extend the asset pricing literature...