The risk premium puzzle is more challenging than previously thought. A new study analyzed data from the U.S. and 15 other advanced economies since 1870, including housing and equity returns. Surprisingly, housing returns are similar to equity returns in the long run, but with lower volatility and less correlation with changes in consumption. Even when considering a mix of housing and equity in a portfolio, the risk aversion for housing and total wealth is higher than for equities, often twice as much. Exotic models and factors like limited participation, housing risk, transaction costs, and liquidity premiums do not explain these findings.