Estimating Market Values from Appraised Values without Assuming an Efficient Market
AbstractThis paper represents an approach to recovering the underlying market value returns from observable appraisal-based index returns, without presupposing or constraining the market value returns to be unpredictable or uncorrelated across time. A structural/behavioral model is developed relating the publicly reported index returns to the underlying market returns. The procedure presented here explicitly corrects for appraisal smoothing at the disaggregate level, as well as for the aggregate index construction effects of temporal aggregation and seasonality of reappraisals. This procedure is applied to the Russell-NCREIF and Evaluation Associates Index returns to generate estimated series of market values and market returns for unsecuritized institutional-grade commercial properties in the United States.
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Bibliographic InfoArticle provided by American Real Estate Society in its journal Journal of Real Estate Research.
Volume (Year): 8 (1993)
Issue (Month): 3 ()
Contact details of provider:
Postal: American Real Estate Society Clemson University School of Business & Behavioral Science Department of Finance 401 Sirrine Hall Clemson, SC 29634-1323
Web page: http://www.aresnet.org/
Postal: Diane Quarles American Real Estate Society Manager of Member Services Clemson University Box 341323 Clemson, SC 29634-1323
Find related papers by JEL classification:
- L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services
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