An analysis of commercial real estate returns: is there a smoothing puzzle?

Bond, S. S., Hwang, S. and Marcato, G. ORCID: https://orcid.org/0000-0002-6266-4676, (2006) An analysis of commercial real estate returns: is there a smoothing puzzle? Working Papers in Real Estate & Planning. 17/06. Working Paper. University of Reading, Reading. pp34.

Abstract/Summary

In this paper we investigate the commonly used autoregressive filter method of adjusting appraisal-based real estate returns to correct for the perceived biases induced in the appraisal process. Since the early work by Geltner (1989), many papers have been written on this topic but remarkably few have considered the relationship between smoothing at the individual property level and the amount of persistence in the aggregate appraised-based index. To investigate this issue in more detail we analyse a sample of individual property level appraisal data from the Investment Property Database (IPD). We find that commonly used unsmoothing estimates overstate the extent of smoothing that takes place at the individual property level. There is also strong support for an ARFIMA representation of appraisal returns.

Item Type	Report (Working Paper)
URI	https://reading-clone.eprints-hosting.org/id/eprint/20606
Item Type	Report
Divisions	Henley Business School > Real Estate and Planning
Publisher	University of Reading
Publisher Statement	The copyright of each working paper remains with the author. If you wish to quote from or cite any paper please contact the appropriate author; in some cases a more recent version of the paper may have been published elsewhere.
Download/View statistics	View download statistics for this item