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...

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...