An extensive literature on smoothing issues in real estate markets has been published, covering a range of theoretical techniques, applications to indices and asset allocation. A recent paper by Geltner et al [2002] reviewed the main theoretical approaches to the construction of unsmoothing...

In this paper we investigate the commonly used auto-regressive filter method of adjusting appraisal-based real estate returns to correct for the perceived biases induced in the appraisal process. Many papers have been written on appraisal smoothing but remarkably few have considered the...