Showing 1 - 10 of 16
Persistent link: https://www.econbiz.de/10012086403
This article explores a technique for constructing REIT-based "pure-play" portfolios which replicate the performance of "target" real estate sectors without direct exposure to "non-target" sectors. The construction of pure-play portfolios uses a combination of long and short positions, and does...
Persistent link: https://www.econbiz.de/10005693244
We explore the causes and extent of appraisal smoothing, defined as a temporal lag bias in appraisals, by analyzing how appraisers use the transaction price data available to them. We test the empirical validity of the partial adjustment model that underlies the traditional "unsmoothing" of...
Persistent link: https://www.econbiz.de/10005693258
Temporal aggregation is defined as the use of spot valuations of properties occuring over an interval of time to impute the spot value of a property or of a real estate value index as of a single point in time. Temporal aggregation may characterize not only appraisal-based indices but also...
Persistent link: https://www.econbiz.de/10005693407
This paper estimates the systematic risk (or "beta") of unsecuritized investment grade commercial real estate, as represented by the FRC and PRISA indices of institutional real estate holdings. Systematic risk defined with respect to national consumption is compared to systematic risk defined...
Persistent link: https://www.econbiz.de/10005693445
This paper uses numerical solutions of a dynamic optimization model to examine the principal-agent relationship between the seller and broker in residential real estate markets. Potential conflict of interest is quantified in two dimensions, the level of selling effort the broker puts forth, and...
Persistent link: https://www.econbiz.de/10005341129
This comment points out a flaw in Gau and Wang's recent empirical analysis of appraisal return bias and clarifies a point in Geltner's previous article that may have misled Gau and Wang as well as others. In examining appraisal bias in returns it is important to distinguish between...
Persistent link: https://www.econbiz.de/10005162191
This paper reviews the financial option model of under-utilizing urban land, with primary attention to the question of whether and how the model might move beyond the academic realm toward practical and quantitative applications. It is argued that the theoretical underpinnings that give the...
Persistent link: https://www.econbiz.de/10005309694
This paper examines the securitized (public) and unsecuritized (private) commercial property markets in the United States and the United Kingdom for evidence of price discovery. Appraisal-based returns are corrected for smoothing, without presupposing the true returns to be uncorrelated or...
Persistent link: https://www.econbiz.de/10005309716
This note quantifies and extends Giliberto's [AREUEA Journal 16(1)] analysis of bias in appraisal-based returns. An important clarification and distinction is made, defining two different perspectives from which one may view appraisal return bias. The Giliberto analysis addressed bias in the...
Persistent link: https://www.econbiz.de/10005309815