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Bias in Appraisal-Based Returns

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  • David Geltner
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    Abstract

    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 holding period return only. Here, after reviewing and extending Giliberto's analysis in this regard, bias is considered from another perspective, that of the arithmetic mean of a time-series of appraisal-based returns. The two types of bias are likely to be of opposite sign, thereby possibly offsetting one another, so that we may often observe very little bias in the means of empirical appraisal-based returns time-series. Copyright American Real Estate and Urban Economics Association.

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    Bibliographic Info

    Article provided by American Real Estate and Urban Economics Association in its journal Real Estate Economics.

    Volume (Year): 17 (1989)
    Issue (Month): 3 ()
    Pages: 338-352

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    Handle: RePEc:bla:reesec:v:17:y:1989:i:3:p:338-352

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    Cited by:
    1. Gerald R. Brown & Seow-Eng Ong, 2001. "Estimating serial cross-correlation in real estate returns," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 22(7), pages 381-387.
    2. Benefield, Justin D. & Anderson, Randy I. & Zumpano, Leonard V., 2009. "Performance differences in property-type diversified versus specialized real estate investment trusts (REITs)," Review of Financial Economics, Elsevier, vol. 18(2), pages 70-79, April.
    3. Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2010. "Unit Roots and Structural Change: An Application to US House-Price Indices," Working Papers 1004, University of Nevada, Las Vegas , Department of Economics.
    4. Constantinescu, Mihnea & Francke, Marc, 2013. "The historical development of the Swiss rental market – A new price index," Journal of Housing Economics, Elsevier, vol. 22(2), pages 135-145.
    5. Shaun A. Bond & Soosung Hwang & Gianluca Marcato, 2006. "An Analysis of Commercial Real Estate Returns: Is there a Smoothing Puzzle?," Real Estate & Planning Working Papers rep-wp2006-17, Henley Business School, Reading University.
    6. Robert Edelstein & Daniel Quan, 2006. "How Does Appraisal Smoothing Bias Real Estate Returns Measurement?," The Journal of Real Estate Finance and Economics, Springer, vol. 32(1), pages 41-60, February.
    7. Sampagnaro, Gabriele & Battaglia, Francesca, 2010. "Reliability and Heterogeneity of Real Estate Indexes and their Impact on the Predictability of Returns," MPRA Paper 23378, University Library of Munich, Germany.

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