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Housing Yields

Author

Listed:
  • Stefano Colonnello

    (Department of Economics, Ca' Foscari University of Venice; Halle Institute for Economic Research (IWH))

  • Roberto Marfè

    (Collegio Carlo Alberto, Turin)

  • Qizhou Xiong

    (Immo, UK)

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.

Suggested Citation

  • Stefano Colonnello & Roberto Marfè & Qizhou Xiong, 2021. "Housing Yields," Working Papers 2021:21, Department of Economics, University of Venice "Ca' Foscari", revised 2021.
    • Handle: RePEc:ven:wpaper:2021:21
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    More about this item

    Keywords

    Housing; Rent-to-Price Ratio; Geographic Heterogeneity;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G51 - Financial Economics - - Household Finance - - - Household Savings, Borrowing, Debt, and Wealth
    • R31 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Housing Supply and Markets

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