This paper examines the long‐run relation between prices and rents for houses in Amsterdam from 1650 to 2005. We estimate the deviation of house prices from fundamentals and find that these deviations can be persistent and long‐lasting. Furthermore, we look at the feedback mechanisms between housing market fundamentals and prices, and find that market correction of the mispricing occurs mainly through prices not rents. This correction back to equilibrium, however, can take decades.

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This paper couples a traditional hedonic model with architectural style classifications from human experts and machine learning (ML) enabled classifiers to estimate sales price premia over architectural styles, both at the building and the neighborhood-level. We find statistically and economically significant price differences for houses from distinct architectural styles across an array of specifications and modeling assumptions. Comparisons between classifications from ML models and human experts illustrate the conditions under which ML classifiers may perform at least as reliable as human experts in mass appraisal models. Hedonic estimates illustrate that the impact of architectural style on price is attenuated by properties with less well-defined styles and we find no evidence for differential price effects of Revival or Contemporary architecture for new construction.

This paper aims to determine the total rate of return to residential real estate. It employs hand-collected archival data for Paris (1809–1942) and Amsterdam (1900– 1979), combining microdata on rents, transaction prices and assessed values for the same homes, as well as information about taxes and costs. In all, we collected 131,711 observations of rents, prices or taxes, covering 26,211 properties. We find real total returns to housing, net of costs and taxes, of 4.9 percent per year for Paris and 5.3 percent for Amsterdam. Importantly, our annual returns correlate only weakly with the housing returns estimated in Jordà et al. (2019), and result in 35 percent lower Sharpe ratios than previously suggested. When housing returns are measured correctly – quality-adjusted, with actual yields observed from rents and prices for the same assets property-level, and property-level taxes and costs included – it seems that much evidence of a housing risk premium puzzle disappears.