Daily appraisal of commercial real estate a new mixed frequency approach
提出一种混频重复销售模型，利用每日REIT指数回报来插值和预测月度私人市场指数回报，实现商业地产组合的每日估值，并降低了预测误差和指数修正。
Abstract 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.