Engsted, Tom; Pedersen, Thomas Q. - In: Journal of International Money and Finance 53 (2015) C, pp. 257-275
We conduct a comprehensive international study of predictability in housing markets using the rent-price ratio as a predictive variable. On data from 18 OECD countries we generally find return predictability in accordance with time-varying risk-premia, but we also document two puzzles. First,...