This 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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Khalid Sekkat & Ariane Szafarz, 2009.
"Valuing Homeownership,"
Working Papers CEB
09-006.RS, Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB).
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