In this paper we combine a random effects model with different machine learning algorithms via an iterative process when predicting commercial real estate asset values. Using both random effects and machine learning allows us to combine the strengths of both approaches. The random effects will...

How do buy-to-let investors impact local housing markets and the composition of neighborhoods? We investigate this question by examining a Dutch legal ban on buy-to-let investments, exploiting quasi-experimental variation in its coverage. The ban effectively reduced investor purchases and...

In this paper we combine a random effects model with different machine learning algorithms via an iterative process when predicting commercial real estate asset values. Using both random effects and machine learning allows us to combine the strengths of both approaches. The random effects will...

Unlike many other major asset classes, when purchasing a property, a lot of time can pass between the date of purchase and the date when ownership is formally transferred from the seller to the buyer. Focusing on residential real estate as an example, we hypothesize that this period, the...

Unlike many other major asset classes, when buying a physical asset like real estate, the legal date of the transfer of ownership is typically somewhere after the date of purchase. Using residential real estate as an example, we hypothesize that this period, the time-to-close, has a positive...

Geographically and temporally granular housing price indexes are difficult to construct. Data sparseness, in particular, is a limiting factor in their construction. In this paper, we introduce a new methodology to construct Census tract level indexes on a quarterly basis that can accommodate...

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 one year, of daily REIT returns. The...

How do pandemics affect urban housing markets? This paper studies historical outbreaks of the plague in 17th-century Amsterdam and cholera in 19th-century Paris to answer this question. Based on micro-level transaction data, we show outbreaks resulted in large declines in house prices, and...