["Real Estate Economics, EarlyView. ", "\nAbstract\nWe leverage quasi‐experimental wildfire smoke shocks to analyze the capitalization of transient air pollution in rent and house prices in Las Vegas from 2008 to 2019. We combine a repeat rent model with an instrumental variable approach, using (i) rental contract rates from newly signed leases, and (ii) the probability of a smoke day based on ground‐level wildfire smoke plume history as an instrument for fine particulate matter (PM2.5$PM_{2.5}$). Similarly, we examine a repeat sales model. Our results indicate that increases in daily PM2.5$PM_{2.5}$ exposure are associated with decreases in rent and house prices, and these effects are substantially larger when accounting for measurement error. Our findings suggest that tenants value clean air as much as homeowners and make up a key demographic when monetizing the value of clean air to inform environmental policy design."]