Agglomeration Economies and Capitalization Rates: Evidence from the Dutch Real Estate Office Market
19 January 2022
In this paper Arno van der Vlist, Marc Francke and Dennis Schoenmaker analyze whether agglomerations of economic activity result in higher rents for users.
However, these benefits do not necessarily carry over to real estate investors because higher rents might also come with higher investment amounts and risks. We address this by testing whether the effects of agglomeration economies, as observed in office rents, carry over to capitalization rates as a theoretically more refined measurement of productivity externalities. Using transaction-based data for the period 1996-2011 in the Netherlands, we show that agglomeration economies result in capitalization rates that are 4.6 percent, or 40 basis points, lower.
Daily appraisal of commercial real estate a new mixed frequency approach
We present a mixed frequency repeat sales model for commercial real estate, taking into account changes in net operating income between the date of buying and selling the property. Moreover, we relate monthly private market index asset returns to lags, up to 1 year, of daily (REIT) index returns.
A Machine Learning Approach to Price Indices: Applications in Commercial Real Estate
This article presents a model agnostic methodology for producing property price indices. The motivation to develop this methodology is to include non-linear and non-parametric models, such as Machine Learning (ML), in the pool of algorithms to produce price indices.
Ortec Finance 2021 Customer Satisfaction Survey shows very high scores
At Ortec Finance, as part of the processes that we have in place to better understand what our clients think of us, our products, and our services, we conduct an annual customer satisfaction survey in the months of October and November. We are proud to announce that the survey shows very high scores for the fourth year in a row!
Forecasting US Commercial Property Price Indexes Using Dynamic Factor Models
The general purpose of a dynamic factor model (DFM) is to summarize a large number of time series into a few common factors. In this paper Alex van de Minne, Marc Francke and David Geltner explore several DFMs on 80 granular, non-overlapping commercial property price indexes in the US, quarterly from 2001Q1 to 2017Q2.
Commonalities in Private Commercial Real Estate Market Liquidity and Price Index Returns
In this paper Dorinth van Dijk and Marc Francke examine co-movements in private commercial real estate index returns and market liquidity in the US (apartment, office, retail) and for eighteen global cities, using data from Real Capital Analytics over the period 2005–2018.