Concerns about global warming and growing scarcity of fossil fuels require substantial changes in energy consumption patterns and energy systems, as targeted by many countries around the world. One key element to achieve such transformation is to increase energy efficiency of the housing stock. In this context, it is frequently argued that private investments are too low in the light of the potential energy cost savings. However, heterogeneous incentives to invest in energy efficiency, especially for owner-occupants and landlords, may serve as one explanation. This is particularly important for countries with a large rental sector, like Germany. Nevertheless, previous literature largely focuses on the payoffs owner-occupants receive, leaving out the rental market. This paper addresses this gap by comparing the capitalisation of energy efficiency in selling prices and rents, for both types of residences. For this purpose data from the Berlin housing market are analysed using hedonic regressions. The estimations reveal that energy efficiency is well capitalised in apartment prices and rents. The comparison of implicit prices and the net present value of energy cost savings/rents reveals that investors anticipate future energy and house price movements reasonably. However, in the rental segment, the value of future energy cost savings exceeds tenants’ implicit willingness to pay by a factor of 2.5. This can either be interpreted as a result of market power of tenants, uncertainty in the rental relationship or the ‘landlord–tenant dilemma’.