This paper provides a contribution to the discussion on appraised values vs. transaction prices by comparing the driving factors of appraisal-based capitalization rates with those of transaction-based capitalization rates. Using a rich database of real estate transactions in Switzerland for the...

In this paper, it is examined whether the structure of constrained submarkets constructed according to three a priori classifications (property type, house value and geographical areas) differs from that of unconstrained submarkets constructed by means of principal component analysis and cluster...

This research starts from the observation that common desmoothing models are likely to generate some extreme returns. Such returns will distort risk measurement and hence can lead to investment decisions that are suboptimal relative to those that would be made if a transaction based index were...

Using U.S. data for 1986-2017, the paper focuses on the impacts of macroeconomic risk factors and leverage on the performance of the various types of real estate exposure (direct, non-listed, and listed). The response of core funds to economic risk factors is akin to that of direct investments;...