For most of the past decades, the Gulf Cooperation Council (GCC) region has experienced rapid expansion, driven largely by increasing energy revenues, and growth-focused government policies. As the region's population increases in size, and becomes wealthier and more urbanized, significant...

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,...

This paper proposes two new measures of illiquidity for real estate markets utilising concepts from asset pricing. Segregating real estate through a regional lens, we provide an in-depth analysis of real estate returns and illiquidity for the US and UK using time-varying parameter VAR models....

Given the recent debate on the empirical validity of the inflation illusion hypothesis, recent implosion of REIT prices combined with potential inflationary pressure, and a significant role of the real estate market in the recent financial market meltdown, we examine whether the observed...

This paper investigates the effects of each age group in the population on housing prices, the returns on different classes of bonds and the excess returns on equity across countries and over time. Previous empirical research focusing on a single country found a negative effect of the ratio of...

Using Australian capital city data from 1984Q3-2008Q2, this paper utilizes a dynamic present value model within a VAR framework to construct fundamental time series of house prices depicting what aggregate house prices should be given expectations of future real disposable income - the...

This study proposes the housing "beta" and tests whether the housing "beta" is a significant determinant for stock returns in a multifactor framework. We hypothesize that the housing market is a systematic risk factor given the impact of the housing market on the overall economy and economics...

This paper estimates ex-post returns to Australian housing in Australian capital cities 1999 2015 considering the cycle of asset ownership; acquisition, annual operations, taxation and disposition. Modelling accommodates financial leverage and varying taxation regimes. Results confirm home...

We study long-term returns on residential real estate in twenty-seven "superstar" cities in fifteen countries over 150 years. We find that total returns in superstar cities are close to 100 basis points lower per year than in the rest of the country. House prices tend to grow faster in the...

We study long-term returns on residential real estate in 27 "superstar" cities in 15 countries over 150 years. We find that total returns in superstar cities are close to 100 basis points lower per year than in the rest of the country. House prices tend to grow faster in the superstars, but rent...