Abstract: This paper study the heterogeneous returns on investment and the price dispersion in the real estate market, using the pre-owned house transaction data in Beijing from 2008 to 2017. Results show that the returns to real estate investment have significant heterogeneity, and reveal that China’s real estate market has price dispersion. We also find that the distribution of house prices has a fat tail, and calculate the Pareto index. These results have important policy implications in the background of deleveraging and possible implementation of real estate taxes.