Abstract We investigate inconsistencies in property tax assessment regressivity across property classes using public record data from Cook County, Illinois during 2006–2022. Across a battery of tests, we document that assessment regressivity is severe within Class 3 (large residential), Class 5A (commercial), and Class 5B (industrial), whereas assessment ratios are only marginally regressive within Class 2 (small residential). Property Classes 3, 5A, and 5B are significantly more likely to appeal, have successful appeals, and have greater value reductions following a successful appeal, compared to Class 2. The appeal process acts to further exacerbate regressivity within Classes 5A and Class 5B. We calculate the counterfactual tax rate that could have been applied under the hypothetical scenario of zero regressivity within each property class and assuming that assessment ratios equal official assessment rates. The weighted average tax rate across jurisdictions in Cook County during 2006–2022 is 7.8% and the counterfactual tax rate we calculate that produces the same property tax revenue under the above conditions would have been 6.1%.

Abstract In response to the COVID‐19 pandemic, numerous countries implemented lockdowns. In Victoria, Australia, a unique two‐tier system was employed, segregating areas with a Ring of Steel boundary and imposing additional restrictions within. This study focuses on the impact of lockdowns on housing prices and rents, exploring whether people are willing to pay a premium to live in areas with fewer lockdown restrictions and thus proposing this premium as an alternative measure of lockdown cost. We utilized a spatial difference‐in‐differences design to test on the lockdown boundary area and address many confounding factors. The research reveals a 7%–8% relative drop in housing rents within the Ring of Steel, dissipating within 6 months after lockdowns ended. A surprisingly large drop of 6%–7% in housing values is observed inside the Ring of Steel. These empirical estimates suggest homebuyers’ behavioral biases could further depress housing values during a pandemic.

Abstract We find that a small set of latent systematic factors identified using the Instrumented Principal Component Analysis model explains a substantial share of the cross‐section of US real estate investment trust (REIT) returns. These factors deliver markedly smaller pricing errors than standard REIT and equity factor models, both in‐sample and out‐of‐sample. We also find that REIT characteristics—size, leverage, dividend yield, momentum, and property‐type indicators—are the primary determinants of factor exposures. Evidence from correlation analysis suggests that the latent factors reflect aggregate risk, financing conditions, liquidity/visibility, sector rotation between property types, and a time‐varying dividend‐income premium. Together, these findings point to a unified and economically interpretable factor structure for REITs.

Abstract Housing prices are known to respond slowly and heterogeneously to macroeconomic variations from the demand and supply sides of housing. This offers a possibility to model the long memory and varied persistence of housing price adjustments, through which a refined characterisation of the macroeconomic–housing price interaction in equilibrium can be developed. Our article advances a theoretical argument, supported by empirical findings in the United States, that macroeconomic variations trigger varied reactions on housing demand and supply sides. This leads to distinct trajectories of equilibrium housing price formations governed by differential price adjustments on the two sides of housing. An established longer memory on the supply side of housing demonstrates its higher persistence of disequilibrium deviations than on the demand side. In the equilibrium, certain macroeconomic factors are found to exert dual but heterogeneous roles in housing demand‐ and supply‐side dynamics. The net role of each such factor is negative led by its even stronger negative role on the demand side compared against a smaller positive one on the supply side. Our findings contribute to deeper reflections on the likely ineffectiveness of macroeconomic interventions in housing price dynamics.

Abstract Coresidence in the parental home is known to depend on young adult characteristics and market conditions, but there is more limited knowledge on whether or how parental characteristics matter. We model the coresidence outcome as a multigenerational joint optimization decision and use Panel Study of Income Dynamics data to examine the association of parental housing and wealth with young adult coresidence. The findings show that parental financial capacity is negatively associated with the likelihood of coresidence. Housing capacity, captured by the size and ownership status of the parental home, is positively associated with the likelihood of coresidence. We observe a stronger association of parental wealth and housing capacity with coresidence in less affordable markets and over time.

Abstract Lowering a borrower's interest rate is one of the most effective ways to reduce a borrower's debt burden. Mortgage refinancing offers a chance to shift debt balances from high‐interest loans into a low‐interest mortgage through “cashing out” some of the home's equity. Using anonymized data on mortgage refinancing behavior, we find that over half of borrowers with high‐interest loans and available home equity do not take advantage of their cash‐out opportunities. While the cash‐out “surcharge” can rationalize this pattern, we leverage a policy change at Fannie Mae that eliminated this surcharge for student‐loan borrowers and find that the presence of a student loan does not significantly affect borrowers' propensity to cash out.

Abstract This study investigates how unexpected structural failures, such as the Champlain Towers South collapse, can profoundly alter real estate market dynamics. Based on data from the Multiple Listing Service (MLS) for Miami‐Dade from 2020 through 2022, the findings show that older condos experienced significant post‐collapse list price discounts, longer time on the market, and reduced sale prices compared to newer units. These effects were not observed in the single‐family home market, indicating that the collapse amplified perceptions of risk and increased financial burdens, specifically for aging condos. The negative impacts were especially pronounced for taller buildings and those near the coast, where maintenance and insurance costs are higher. Overall, the study underscores the critical influence of catastrophic events on property markets and highlights the need for policymakers and industry stakeholders to adapt to evolving risks and regulatory challenges to maintain market stability.

Abstract We exploit the COVID‐19 pandemic as a natural experiment to examine how health‐conscious infrastructure impacts commercial real estate. Using data from listed real estate companies globally and in the United States, we find a post‐pandemic surge in healthy building investments, especially in regions with higher pre‐pandemic health risks. Firms with greater pre‐pandemic healthy building shares showed stronger market resilience and superior post‐pandemic performance. Cell phone mobility data confirm these benefits, showing increased visits to healthy buildings after reopening, highlighting their perceived safety and appeal. Our findings underscore health‐centric infrastructure's role in shaping investment, performance, and mobility.