We propose newly developed unsmoothing techniques for appraisal-based real estate returns based on a regime-switching Threshold Autoregressive (TAR) model. We show that when true returns follow a TAR process, conventional linear autoregressive technique are misspecified and underestimate true...

This paper studies the pricing of the risk associated with the location of the assets. The location risk is measured by ‘local beta’, which combines the systematic risk of local property markets and the property allocation strategy of real estate firms. The empirical results confirm a higher...