Serial correlations in asset prices are often associated with irrational investment decisions (e.g., speculative bubbles) or inefficient markets. This paper shows that even asset prices determined rationally in an efficient market become predictable if underlying cash flows contain predictable...

The U.S. inflation measures, such as the Consumer Price Index, are adjusted for rent depreciation based on a 1988 estimate. This study estimates rent depreciation by using a novel rental-listing data set for the Las Vegas metropolitan area. The average annual depreciation rate is 0.2 percent for...