Franz Fuerst

Franz Fuerst
University of Cambridge | Cam · Department of Land Economy

PhD (Economics)

About

227
Publications
112,595
Reads
How we measure 'reads'
A 'read' is counted each time someone views a publication summary (such as the title, abstract, and list of authors), clicks on a figure, or views or downloads the full-text. Learn more
4,570
Citations
Additional affiliations
September 2022 - December 2022
Technical University of Munich
Position
  • Global Visiting Professor
October 2018 - present
University of Cambridge
Position
  • Professor
September 2017 - present
University of Melbourne
Position
  • Research Associate

Publications

Publications (227)
Research
Full-text available
This study shows for the first time, that investing comprehensively in sustainability as measured by the GRESB rating) pays off for REITs by enhancing operational performance and lowering risk exposure and volatility. Analyzing a sample of REITs from North America, Asia and Europe for the 2011-14 time period, it also appears that there is a great d...
Research
Full-text available
This paper investigates the price effect of EPC ratings on the residential dwelling prices in Wales. It examines the capitalisation of energy efficiency ratings into house prices using two approaches. The first adopts a cross-sectional framework to investigate the effect of EPC band (and EPC rating) on a large sample of dwelling transactions. The s...
Article
This study investigates the price effects of environmental certification on commercial real estate assets. It is argued that there are likely to be three main drivers of price differences between certified and noncertified buildings. These are additional occupier benefits, lower holding costs for investors and a lower risk premium. Drawing upon the...
Article
Full-text available
We introduce a new joint model of expected return and volatility forecasting, namely the two-component Beta- t -QVAR-M-lev (quasi-vector autoregression in-mean with leverage). The maximum likelihood estimator for the two-component Beta- t -QVAR-M-lev is an extension of theoretical results of the one-component Beta- t -QVAR-M. We compare the volatil...
Article
Full-text available
We introduce the two-component Beta-t-QVAR-M (quasi-vector autoregression, in-mean) model to the literature on score-driven models. Two-component Beta-t-QVAR-M is a joint model of expected return and volatility of financial assets. We compare the volatility forecasting performances of two-component Beta-t-QVAR-M and two-component GARCH-M (generaliz...
Preprint
Full-text available
We introduce a new joint model of expected return and volatility forecasting, namely the two-component Beta-t-QVAR-M-lev (quasi-vector autoregression in-mean with leverage). The maximum likelihood estimator for the two-component Beta-t-QVAR-M-lev is an extension of theoretical results of the one-component Beta-t-QVAR-M. We compare the volatility fo...
Article
Full-text available
This editorial summarizes the papers in issue 18(2) (2023). The first paper extends the Solow–Swan growth model with spatial dependence, pollution and time delay. The second paper investigates the (mis)match between relative factor costs and the output elasticities of production factors due to innovations in the European Union’s Smart Specialisatio...
Article
Full-text available
This editorial summarizes the papers in issue 18(1) (2023). The first paper sets out a game-theoretic duopolistic spatial model to investigate whether online retailing causes more transportation-related emissions than offline retailing. The second paper proposes a methodology for statistically downscaling projected gross domestic product (GDP). The...
Article
Full-text available
This editorial summarizes the papers in issue 17(4) (2022). The first paper combines input–output modelling with priority weighting to analyse supply-chain impacts of disasters. The second paper examines skill-based functional specialization of value chains in Brazil using interregional and international value-added measures. The third paper questi...
Article
Full-text available
This editorial summarizes the papers published in issue 17(3) (2022). The first paper analyses the impact of knowledge spillovers on patent applications using a Tobit model. The second paper sets out an economic-theoretical model of industrial specialization patterns across cities and their impact on the spatial agglomeration of skilled workers and...
Article
Machine Learning (ML) excels at most predictive tasks but its complex non‐parametric structure limits its usefulness for inference and out‐ofsample predictions. This paper aims to elucidate the analytical behavior of ML in real estate through Interpretable Machine Learning (IML). Specifically, we compare a hedonic ML approach to a set of modelagnos...
Article
Full-text available
This editorial summarizes the papers published in issue 17(2) (2022). The first paper evaluates logistic regression and machine-learning methods for predicting firm bankruptcy. The second paper demonstrates that machine learning outperforms existing tools to improve the estimation of regional input–output tables. The third paper investigates whethe...
Article
Despite extensive empirical evidence of the environmental benefits of green buildings and the increasing urgency to reduce carbon emissions in cities, there has been limited widespread adoption of energy retrofit investments in existing buildings. In this paper, we empirically model financial returns to energy retrofit investments for more than 360...
Article
Full-text available
This editorial summarizes the papers published in issue 17(1) (2022). This issue begins with a second editorial calling on researchers to publish replication results from previous studies. The first paper applies a spatiotemporal Bayesian hierarchical model for understanding the dynamics of second home ownership in Corsica. The second paper determi...
Article
Full-text available
This study examines the impact of energy management and productivity-enhancing measures, implemented as part of LEED Existing Buildings Operations and Management (EBOM) certification, on source energy use intensity and rental premiums of office spaces using data on four major US markets. Energy management practices, comprised of commissioning and a...
Article
Full-text available
This editorial summarizes the papers published in issue 16(4) (2021). The first paper adopts a higher order spatial autoregressive model with endogenous spatial weight matrices. The second paper investigates the existence of the law of one price using regional observations over time. The third paper develops an economic-theoretical model that goes...
Article
Full-text available
This research tests if contemporary house prices reflect the flood vulnerability of properties. In particular, future sea level rise is likely to expose properties to flood risk that are currently considered safe from these adverse events.Using a comprehensive dataset comprising of statutory rating valuation information and sales transactions, a he...
Article
Full-text available
This editorial summarizes the papers published in issue 16(3) (2021) in order to raise the bar in applied spatial economic research and highlight new trends and knowledge. The first paper analyses the economic consequences of the rise and spread of the Covid-19 virus in the Brazilian state of São Paulo. The second paper presents a multi-regional ge...
Article
This study aims to determine if specialization led to higher financial performance for European non-listed real estate funds. Funds may either specialize in a particular country and/or property type or manage a broadly diversified portfolio. The findings suggest that after adjusting for relevant performance drivers, both country specialization and...
Article
Full-text available
In this paper, we study the international and sectoral diversification potential in real estate portfolios. Building on a unique dataset of direct real estate markets covering 16 OECD countries over the period 1999-2018, we introduce a statistical test to compare country-level and sector-level diversification potential. This new diversification tes...
Preprint
Full-text available
Real estate, despite its spatial fixity, is subject to considerable cross-border investment flows. However, it may be surmised that the diversification potential of international real estate investments dwindles if markets become increasingly interlinked. Building on a unique dataset of direct real estate markets covering 16 OECD countries over the...
Article
Full-text available
Recent studies have sought to explore the relationship be- tween environmental and financial performance, in particu- lar the relationship between the energy efficiency level of a building and its financial value. The present real estate dataset contains 43 variables of repeat sales transactions, en- ergy performance certificate (EPC) rating, index...
Article
This editorial summarises the papers published in issue 15.4 in order to raise the bar in applied spatial economic research and highlight new trends and knowledge. The first paper challenges the standard notion that more growth is better. The second paper challenges macroeconomic models by looking at them from a regional micro-grounded lens, where...
Article
Full-text available
This editorial summarizes the papers published in issue 15(2) so as to raise the bar in applied spatial economic research and highlight new trends. The first paper combines a conditionally autoregressive process from the spatial statistics literature with a spatial Durbin error model from the spatial econometrics literature. The second paper feeds...
Article
Full-text available
In addition to the three special issue papers, issue 15.1 contains two papers on input-output analysis. The first paper provides a thorough analysis of the cross entropy (CE) method to build input-output tables at sub-territorial levels or to update them in time. The second paper proposes a spatial input-output location quotient accounting for the...
Article
Full-text available
Zusammenfassung Es besteht ein klarer wissenschaftlicher und gesellschaftlicher Konsens über die Schlüsselrolle, die Gebäuden und der gebauten Umwelt bei der Reduzierung von Treibhausgasemissionen und Ressourcenverbrauch zukommt. Unklar ist jedoch, inwieweit Umweltziele und ökonomische Rentabilität im Immobilienbereich miteinander einhergehen. Dies...
Article
Full-text available
This editorial summarises the papers published in issue 14(4) so as to raise the bar in applied spatial economic research and highlight new trends. The first paper analyses the impact of re-exports on bilateral trade data. The second paper proposes a new measure for the popular smart specialisation index (S3). The third paper proposes a new solutio...
Article
The rented sector of the housing market is a key concern for policies trying to improve dwelling-level energy efficiency levels. Currently, stepping up energy efficiency levels in the residential sector is hindered by a number of uncertainties. For rental properties, this is complicated by the split incentive problem (i.e. landlords do not benefit...
Article
Full-text available
In this study, we examine the drivers of household energy consumption with a view towards gauging which households are particularly vulnerable to energy price risk. We specifically investigate the relative importance of household socio-economic characteristics versus dwelling characteristics in explaining per capita gas consumption for space heatin...
Article
Full-text available
This editorial summarizes the papers published in issue 14(2) so as to raise the bar in applied spatial economic research and highlight new trends. The first paper deals with past and current challenges for regional science research. The second paper investigates whether people living in deprived neighbourhoods have less chance of succeeding in a j...
Article
This study investigates scale economies in European real estate companies. We examine the effects of size on revenue, expense, profitability ratios and capital costs using panel data regression. We find that larger real estate companies in Europe are able to generate higher revenue per unit of company size, incur lower costs and produce higher retu...
Article
Full-text available
This study sets out to discuss and test the potential risk factors of energy efficiency retrofits. It reviews both the short- and long-term assumptions regarding the various uncertainties associated with valuation input parameters to assess their potential effect on outcomes predicted by conventional calculation models. Potential risk mitigation st...
Preprint
Full-text available
Economic theory and extant research suggest that flood prone properties should attract a discount. This concept can be extended to properties affected by future sea level rise but there is limited information for purchasers to judge and make informed decisions about their investment. Using a comprehensive dataset comprising statutory rating valuati...
Article
Full-text available
This editorial summarizes the papers published in issue 14(1) so as to raise the bar in applied spatial economic research and highlight new trends. The first paper applies the Shapley-based decomposition approach to determine the impact of firm-, linkage- and location-specific factors to the survival probability of enterprises. The second paper app...
Article
Improving the energy efficiency levels of the housing stock is of particular concern in the private rental market where capital costs and utility cost savings are not shared in equal measure by landlords and tenants. This problem is particularly pronounced in the German housing market with its predominance of rented accommodation over owner occupan...
Article
Full-text available
This editorial summarizes the papers published in issue 13(4) so as to raise the bar in applied spatial economic research and highlight new trends. The first paper develops an economic geography model with trade costs in all sectors and different shares of unskilled labour in all locations. The second paper translates an economic geography model in...
Article
Full-text available
In this study, we examine the drivers of household energy consumption, specifically investigating the relative importance of household socio-economic characteristics versus dwelling characteristics in explaining per capita gas consumption for space heating. The study draws upon a large random sample of households from the English Housing Survey (EH...
Article
Full-text available
This paper seeks to predict the impact of future housing supply on the affordability of residential space in the United Kingdom, using quantitative model-based simulation methods. Our spatially disaggregated analysis focuses on the greater South East region, approximately within 1.5 hours commuting time from Central London. A dynamic spatial panel...
Article
Purpose – While broader property-type categories of real estate markets have been scrutinized at microeconomic level in some segments – namely, residential, retail, industrial and hospitality, there is limited evidence showing that local office markets can be viewed as monolithic and economically integrated entities. The purpose of this paper is to...
Article
Full-text available
This editorial summarizes the papers published in issue 13(3) so as to raise the bar in applied spatial economic research and highlight new trends. The first paper challenges the home market hypothesis that large countries host more firms relative to their size than small countries by considering the lobbying activities of multinational firms. The...
Article
Full-text available
The estimation of future sea level rise (SLR) is a major concern for cities near coastlines and river systems. Despite this, current modelling underestimates the future risks of SLR to property. Direct risks posed to property include inundation, loss of physical property and associated economic and social costs. It is also crucial to consider the r...
Article
This paper seeks to elucidate whether high levels of non-disclosure lead to adverse market outcomes in the form of the well-known lemons problem. It also empirically tests whether energy-efficiency ratings (EERs) are reflected in both housing sales prices and rents in the Australian Capital Territory, the only Australian housing market with mandato...
Article
This paper investigates household decision-making behaviour in the market for energy-efficient lighting and appliances in Delhi, India to study the energy efficiency gap using the inter-disciplinary framework of behavioural economics. A primary dataset of survey responses and choice experiments is analysed to test whether under-investment in energy...
Article
Purpose This study assesses the impact of location on capitalization rates and risk premia. Design/methodology/approach Using a transaction-based data series for the five largest office markets in Germany from 2005 to 2015, regression analysis is performed to account for a large set of asset-level drivers such as location, age and size and time-...
Article
This article investigates how emerging real estate markets price information conveyed by voluntary environmental certification schemes. In addition to low incidence of green buildings, developing countries typically exhibit weaker environmental performance due to limited capacity to enforce existing regulation. Therefore, we exploit the role of int...
Conference Paper
Full-text available
Sea level rise forecasts identify a potential risk and uncertainty for property owners, occupiers and stakeholders. Currently, this risk is likely underestimated, with little action being taken to address it. Recent data has suggested that previous estimates by Intergovernmental Panel on Climate Change (IPCC, 2013) of up to a 1 metre rise by 2100 s...
Article
Full-text available
This editorial summarises the papers published in issue 13.1 so as to raise the bar in applied spatial economic research and highlight new trends. The first paper adopts a scale neutral approach to investigate the spatial mechanisms that cause regional innovation and growth. The second paper claims that population-weighting when calculating indices...
Article
Full-text available
Raising the bar (6). Spatial Economic Analysis. This editorial summarizes and comments on the papers published in issue 12(4) so as to raise the bar in applied spatial economic research and highlight new trends. The first paper addresses the question of whether ‘jobs follow people’ or ‘people follow jobs’. The second paper develops a new methodolog...
Article
This article examines the impact of improving energy efficiency of office buildings on their financial risk. While multiple studies report a sustainability premium little is known about the corresponding risk. This research reviews the financial benefits in the context of their impact on risk. After a theoretical analysis of the topic, it forms two...
Article
This paper investigates whether personality traits play a significant role in the decision to invest in energy efficiency in the residential sector. Using the data from the Understanding Society UK survey, we apply structural equation modelling to examine if the Big Five personality traits help explain why certain individuals choose to invest in en...
Chapter
Immobilien tragen in erheblichem Maße zum Klimawandel bei. Auch wenn die Spanne des prozentualen Anteils an allen Treibhausgasen in verschiedenen Studien je nach Definition von 30 bis über 50 % reicht, darf es mittlerweile als gesicherte Erkenntnis gelten, dass es kaum einen anderen Bereich der Volkswirtschaft gibt, der ein ähnlich hohes Reduktions...
Conference Paper
Full-text available
This study sets out to discuss and test the factors which, in the existing literature, are identified as potential risk factors for consideration in energy efficiency retrofit valuation estimates. It reviews both the short and long-term assumptions regarding the various uncertainties associated with input parameters, to assess their potential effec...
Article
Revenues from non-aeronautical business have received increasing attention from airports seeking to enhance their profitability. This study analyzes the commercial performance of global airports using a panel dataset of 75 airports in 30 countries. Applying pooled OLS, random effects and 3SLS estimation frameworks, we identify the main drivers of f...
Article
Full-text available
This paper seeks to elucidate whether high levels of non-disclosure lead to adverse market outcomes in the form of the well-known lemons problem. It also empirically tests whether energy-efficiency ratings (EERs) are reflected in both housing sales prices and rents in the Australian Capital Territory, the only Australian housing market with mandato...
Article
The uncertainty caused by the presence of asymmetric information represents a crucial barrier to unlocking greater green investments in the real estate market. In this study, whether recent experiments of energy efficiency labelling of buildings offer ample opportunities in reducing information asymmetry in the real estate market by facilitating th...
Article
The spatial impact of employment centres on housing markets. Spatial Economic Analysis. Local economic growth tends to affect neighbourhood house prices unevenly. It has been observed that prime locations experience price hikes far in excess of the surrounding local area. Yet, this phenomenon is not well captured by existing economic models. This r...
Article
Local economic growth tends to affect neighbourhood house prices unevenly. It has been observed that prime locations experience price hikes far in excess of the surrounding local area. Yet, this phenomenon is not well captured by existing economic models. This research provides a model of spatial and temporal interactions between housing and employ...
Article
The study investigates uncertainty of financial performance of energy efficient office buildings to establish how making an asset energy efficient changes its financial characteristics. Two hypotheses explaining why a change may occur are presented and examined (one based on higher demand and one on higher economic efficiency). A large panel datase...