Abstract
We estimate total returns to rental housing by studying over 170,000 hand-collected archival observations of prices and rents for individual houses in Paris (1809-1943) and Amsterdam (1900-1979). The annualized real total return, net of costs and taxes, is 4.0% for Paris and 4.8% for Amsterdam and entirely comes from rental yields. Our returns weakly correlate with the implied returns in Jordà et al. (2019) and are substantially lower. We decompose total return risk at the individual asset level and find that yield risk becomes an increasingly important component of property-level risk for longer investment horizons.
Original language | English |
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Article number | hhab042 |
Journal | The Review of Financial Studies |
Volume | 34 |
Issue number | 8 |
Early online date | 12 Apr 2021 |
DOIs | |
Publication status | Published - Aug 2021 |
Bibliographical note
Publisher Copyright:© 2021 The Author(s) 2021. Published by Oxford University Press on behalf of The Review of Economic Studies Limited.