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.
The underlying daily model enables us to interpolate the monthly private market index returns on a daily basis, and to predict the private market index asset returns going forward. The mixed frequency repeat sales model facilitates daily appraisal of commercial real estate portfolios. We apply the model on sale prices (all property types, and apartments only) in the period January 2006–July 2020. We find that the mixed frequency repeat sales model reduces 1-month-ahead forecasts errors and index revisions, compared to a benchmark model without daily returns.
Download whitepaper (requires subscription)
Authors:
- Alex M. van de Minne, Research Scientist MIT Center for Real Estate
- Marc K. Francke, University of Amsterdam - Faculty of Economics and Business and Ortec Finance
Questions?
Do you have questions about this paper or an idea for another interesting analysis?Please contact Marc Francke using the details below.
Contact
Marc Francke
Head of Real Estate ResearchRelated Insights
-
09 April 2024PRESS RELEASE: Ortec Finance releases integrated economic and climate scenariosFind out more about the industry’s first integrated economic and climate risk management tool.
-
19 March 2024In-House Student Day: Thursday 30 May, 2024 - RotterdamCalling all students! Join us for an unforgettable day of insights and inspiration at our exclusive In-House Student Day.
-
23 February 2024Ortec Finance's 2023 customer satisfaction survey shows high scoresThis consistent positive feedback reflects the strong rapport we share with our clients around how our solutions solve their challenges.
-
12 February 2024PRESS RELEASE: Ortec Finance appoints Hens Steehouwer as Chief Innovation OfficerHens will responsible for integrating climate risk and expanding AI capabilities
-
05 February 2024Is it a perfect storm?Learn more about the added value of a monte-carlo scenario approach to stress test your financial plan.
-
22 January 2024Discover the hidden dynamics shaping Dutch housing associationsLearn more about Dutch housing associations and how they manage to balance social objectives and financial restraints in their investment strategy.
-
22 January 2024Driving Social ImpactHousing association case study in driving social impact by implementing investment strategy while emphasizing the alignment of their mission with actionable objectives.
-
22 January 2024Board dynamics at housing associationsLearn more about boardy dynamics at Dutch housing associations. How different stakeholders represent different objectives.
-
08 January 2024Comparing (social) objectives for decision-making in housing associationsIn this report we compare (social) objectives for decision-making in housing associations.