Marc Francke is Head of Real Estate Research at Ortec Finance.
He holds a PhD degree in econometrics at the VU University Amsterdam. He has done extensive research on automated valuation models using econometric and machine learning methods, property price index construction in thin markets, and price and liquidity dynamics liquidity in commercial and residential markets. Apart from his position at Ortec Finance, he is full professor Real Estate Analytics at the University of Amsterdam. He is research Fellow at Massachusetts Institute of Technology Center for Real Estate’s Price Dynamics Platform, and Weimer School Fellow at the Homer Hoyt Institute.
His academic research has resulted in publications in various scientific journals, including Management Science, the Journal of Business and Economic Statistics, Journal of Econometrics, Journal of Urban Economics, Real Estate Economics, the Journal of Real Estate Finance and Economics and the Journal of Derivatives. Professor Francke is board member of the European Real Estate Society and secretary of the European Commercial Real Estate Data Alliance.
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13 April 2022Daily appraisal of commercial real estate a new mixed frequency approachWe 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.
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13 April 2022A Machine Learning Approach to Price Indices: Applications in Commercial Real EstateThis article presents a model agnostic methodology for producing property price indices. The motivation to develop this methodology is to include non-linear and non-parametric models, such as Machine Learning (ML), in the pool of algorithms to produce price indices.
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16 February 2022Baby Booms and Asset Booms: Demographic Change and the Housing MarketHow do changes in the age structure of the population impact housing markets? This paper uses centuries of data to show that demographic changes are a key determinant of house prices.
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08 February 2022Housing markets in a pandemic: Evidence from historical outbreaksHow 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.
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01 February 2022Forecasting US Commercial Property Price Indexes Using Dynamic Factor ModelsThe general purpose of a dynamic factor model (DFM) is to summarize a large number of time series into a few common factors. In this paper Alex van de Minne, Marc Francke and David Geltner explore several DFMs on 80 granular, non-overlapping commercial property price indexes in the US, quarterly from 2001Q1 to 2017Q2.
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25 January 2022Commonalities in Private Commercial Real Estate Market Liquidity and Price Index ReturnsIn this paper Dorinth van Dijk and Marc Francke examine co-movements in private commercial real estate index returns and market liquidity in the US (apartment, office, retail) and for eighteen global cities, using data from Real Capital Analytics over the period 2005–2018.