Recent Posts

Working Paper: Enhancing Real Estate Investment Trust (REIT) Return Forecasts via Machine Learning

5 minute read

We add to the emerging literature on machine learning empirical asset pricing by analyzing a comprehensive set of return prediction factors on REITs. We show that machine learning models are superior to traditional ordinary least square models and we find that REIT investors experience significant economic gains when using machine learning forecasts. Comparing to the stock market, we show that REITs are more predictable than stocks, and that the higher predictability is stable across time and across industry types.

The MPhils were back in town!

less than 1 minute read

It was such a joy to welcome back our MPhil alumni and former colleagues for the 2024 MPhil reunion! I truly enjoyed the evening, hearing all about your impressive careers—but, more importantly, seeing old friendships glowing strong and new bonds forming.Sometimes, the beauty of working in education gets lost in the daily grind. Being there with you wonderful people, I felt grateful, sentimental, and curious about your next steps. Thanks to all for the reunion, and I hope to see you again soon!

Continuous learning

less than 1 minute read

As I sat in the dentist’s chair, waiting for the local anesthetic to kick in, I finally asked the dentist something I had wondered about a few times before: “How do you keep up with new techniques and stay on top of your field?” I inquired, half-expecting a mention of professional courses or medical journals. His response was immediate and enthusiastic: “YouTube!” And that was reassuring.

Blog post: Predictable REIT returns

less than 1 minute read

The Cambridge Endowment for Research in Finance (CERF) has published a blog post on Kahshin Leow’s and my research on predictable REIT returns: https://www.cerf.cam.ac.uk/blog/blog-2024

Upcoming talks: Research seminars in Reading and London

less than 1 minute read

This Wednesday (March 20) will be busy: First, I’ll head to the University of Reading for a research seminar (12–1 pm). My paper shows how REIT return predictability increases when machine learning methods are allowed to shine. In the evening (6:15—7:15 pm), I will take part in a seminar on generative AI organised by the Society of Property Researchers in London. Pretty excited to share my work and to meet new and old friends.

Spring

less than 1 minute read

Spring arrived early this year. The apricot is flowering, to the delight of big bumble bees. Let’s hope there will be no more frosty spells.

Agreed

less than 1 minute read

“In [Trump’s] world: rent regulated apartments are worth the same as unregulated apartments; restricted land is worth the same as unrestricted land; restrictions can evaporate into thin air; […] and square footage subjective. That is a fantasy world, not the real world.” A. Engoron

Easy New Year’s Resolutions

less than 1 minute read

Still looking for an easy new year’s resolution? Something that won’t be difficult to do but might make you feel better every time you navigate the Internet?

Run Large Language Models locally

3 minute read

Want to run a large language model (LLM) on your computer? Llamafile makes hosting a LLM chatbot locally as simple as downloading a single file and starting it. That’s all. It took me less than a minute to arrive at my first home-spun text. If you wanted to use Large Language Models (LLM) without sharing all prompts and other data with Big Tech, or integrate a chatbot into a system that you control fully, or simply preferred open-source solutions wherever possible, then llamafile is worth a try. CONTINUE READING …