Review of Financial Studies Vol. 38 No. 2 2025

House Prices and Rents

Eugene F. Fama¹; Kenneth R. French²

¹ Booth School of Business, University of Chicago · ² Tuck School of Business, Dartmouth College

Abstract

Variation in monthly metro area house prices unrelated to expected rents clouds the information about future rents in price-rent ratios and lagged changes in house prices. The variation in house prices unrelated to expected rents is, however, correlated across areas, and the problem is mitigated by measuring rent growth regression variables net of their monthly cross-section (across-area) means. This control for price variation unrelated to expected rents substantially enhances the information about future rents that we extract from price-rent ratios and lagged changes in house prices.

DOI

10.1093/rfs/hhae065

Volume

38

Issue

2

Pages

547-563

Language

en

Sources

bibtex:phds-export.bib openalex crossref

Cite

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