Housing Yields

Stefano Colonnello, Roberto Marfè () and Qizhou Xiong ()
Additional contact information
Roberto Marfè: Collegio Carlo Alberto, Turin
Qizhou Xiong: Immo, UK
Authors registered in the RePEc Author Service: Roberto Marfe ()

No 2021:21, Working Papers from Department of Economics, University of Venice "Ca' Foscari"

Abstract: This paper investigates heterogeneity in residential property yields using rental and sale listings from a major German online real estate platform between 2007 and 2017. Equipped with more than 1.5 million property-level rent-to-price ratios obtained by matching properties for sale and for rent, we show that these yields strongly co-move with regional factors, such as population age structure, industry structure, housing supply rigidities, and the liquidity and size of the housing market. However, about 40% of dispersion in yields can be explained neither by an extensive array of property-specific observable features nor by accounting for any possible unobservable zip code-level time-varying factor through fixed effects. Controlling for neighborhood amenities distinctly improves explanatory power, but still leaves up to 30% of variation unexplained, pointing to the importance of risk premia arising from property-level heterogeneity in idiosyncratic risk and/or exposures to systematic risk factors.

Keywords: Housing; Rent-to-Price Ratio; Geographic Heterogeneity (search for similar items in EconPapers)
JEL-codes: G12 G51 R31 (search for similar items in EconPapers)
Pages: 76 pages
Date: 2021, Revised 2021
New Economics Papers: this item is included in nep-eur, nep-geo, nep-isf and nep-ure
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Related works:
Working Paper: Housing Yields (2024)
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Persistent link: https://EconPapers.repec.org/RePEc:ven:wpaper:2021:21

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