The Total Return and Risk to Residential Real Estate

PMA Eichholtz, Matthijs Korevaar*, T Lindenthal, R Tallec

*Corresponding author for this work

Research output: Contribution to journalArticleAcademicpeer-review

18 Citations (Scopus)
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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 languageEnglish
Article numberhhab042
JournalThe Review of Financial Studies
Volume34
Issue number8
Early online date12 Apr 2021
DOIs
Publication statusPublished - 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.

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