The Total Return and Risk to Residential Real Estate

• 成果类型: Article
• 署名作者: Eichholtz, Piet; Korevaar, Matthijs; Lindenthal, Thies; Tallec, Ronan
• 署名单位: Maastricht University; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; University of Cambridge; Universite Paris-Pantheon-Assas
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhab042
• 发表日期: 2021
• 页码: 3608
• 关键词: house prices; MARKET; index; fundamentals; equilibrium

摘要

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 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.