Blog post: Predictable REIT returns
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
Posts by Year
2024
Spring in Full Bloom
Spring has arrived both at home and at work.
Upcoming talks: Research seminars in Reading and London
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
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
“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
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?
2023
Run Large Language Models locally
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 …
True Craftsmanship
I spotted this exceptionally well-made gate not far from home. The oak wood has been hewn, not sawn, giving strength and elegant curves. Connections made in wood, just the hinges are metal. This must have been irrationally expensive to build. Beautiful.
Green Buildings of Silver Street
Not ideal from a building maintenance point of view… but beautiful. A gutter has been leaking for years and created a truly ‘green’ building on Silver Street. Click for video.
Work with us: Assistant Professorship (tenure track) at University of Cambridge
The Department of Land Economy is searching for one more Assistant Professor in Real Estate Finance. Here my thoughts on why this might be an attractive opportunity for an early-career real estate scholar.
Reaching for yield and the housing market: Evidence from 18th-century Amsterdam
New paper by Matthijs Korevaar explores the links between financial markets and real estate in 18th-century Amsterdam
Tulip mania
An update from the garden: Tulips tulips tulips
Professor!
Personal news: I have been elected Grosvenor Professor of Real Estate Finance at the University of Cambridge
Franz Xaver Rektorzik
Etchings by Franz Xaver Rektorzik, printed by August Potuczek
2022
New paper: Testing machine learning systems in real estate
How do ML-models arrive at their predictions? Do they do what we hope they do—or are corners cut?. New paper out at Real Estate Economics
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Staying in touch: A sporadic email with updates
New Paper: Urban land valuation with bundled good and land residual assumptions
Paper out: This paper develops a new approach to estimate the value of urban land and indirectly tests land residual assumptions. Bonus: Value surfaces estimated with a spatial ANN.
New Working Paper: “Growth and Predictability of Urban Housing Rents”
This paper studies urban rental prices for half a millennium (1500–2020) and seven cities: Amsterdam, Antwerp, Bruges, Brussels, Ghent, London, and Paris. Based on a dataset of 436,000 rental cash flow observations, we build continuous annual indices of housing rents, which we employ to study the long-term developments in rental cash flows, as well as their predictability. We find that real rent growth has been limited, but with large differences across cities: average annual growth rates range between 0.12 percent for the Belgian cities to 0.30 percent for Paris. At the market level, we show that sluggish supply adjustment implies that past population growth negatively predicts current rental growth. At the individual asset level, we find that past excess rental growth rates are predictive of future rent revisions, and that increasing steepness of the term structure of contract rents is predictive for future rent levels.
Spatial ML: Estimating Land Values in Phoenix (AZ)?
A neural networks that accounts for spatial correlation and time dynamics?
2021
Are Estimates of Rapid Growth in Urban Land Values an Artifact of the Land Residual Model?
New paper out: A closer look at urban land and structure values – this is important for national accounts and for analysis of real estate risk over time. With John Clapp and Jeff Cohen.
Immobilienanlagen: Angebliches Renditewunder entzaubert / Le « miracle » de l’investissement immobilier démystifié
Summary of our total return paper in German and French.
New Publication: The Total Return To Real Estate
New research accepted for publication at the Review of Financial Studies (RFS) suggests that returns to real estate are solid but not exceptional: No sign of a housing risk premium puzzle.
Nothing but hot air…
My previous website went down in flames (or rather: is now hosted in a black cloud).
Machine Learning, Architectural Styles and Property Values
New research accepted for publication at the Journal of Real Estate Finance and Economics: This paper couples a traditional hedonic model with architectural style classifications from human experts and machine learning (ML) enabled classifiers to estimate sales price premia over architectural styles, both at the building and the neighborhood-level.
Aesthetic Preferences for Residential Architecture: Finding Ground Truth with Machine Learning Approaches
This paper first collects binary classifications of house pictures from a large group of participants and then trains personalized ML classifiers for each participant.
2014
Valuable Words: The Price Dynamics of Internet Domain Names
This article estimates the first constant quality price index for Internet domain names. The suggested index provides a benchmark for domain name traders and investors looking for information on price trends, historical returns, and the fundamental risk of Internet domain names.
