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Random Disaggregate Appraisal Error in Commercial Property: Evidence from the Russell-NCREIF Database

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Author Info
David M. Geltner () (Finance Department College of Business Administration University of Cincinnati Cincinnati, Ohio 45221-0195)
Richard A. Graff (Electrum Partners 400 North Michigan Avenue Suite 1200 Chicago, Illinois 60611)
Michael S. Young (The RREEF Funds 650 California Street Suite 1800 San Francisco, California 94108)

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Abstract

This paper examines the magnitude of random disaggregate appraisal valuation error in institutional-grade commercial property. Unlike previous transactions-based studies of appraisal error, we use a much larger database that is not restricted to sold properties, and we employ a methodology that focuses on appraisal error rather than the difference between transaction price and previous appraised value. Our model gives a point estimate of 11.07% for the standard error of appraisals in the Russell-NCREIF database, with a robust range of 6% to 13%.

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File URL: http://aux.zicklin.baruch.cuny.edu/jrer/papers/pdf/past/vol09n04/v09p403.pdf
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Publisher Info
Article provided by American Real Estate Society in its journal Journal of Real Estate Research.

Volume (Year): 9 (1994)
Issue (Month): 4 ()
Pages: 403-420
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:jre:issued:v:9:n:4:1994:p:403-420

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Postal: American Real Estate Society Clemson University School of Business & Behavioral Science Department of Finance 401 Sirrine Hall Clemson, SC 29634-1323
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Postal: Diane Quarles American Real Estate Society Manager of Member Services Clemson University Box 341323 Clemson, SC 29634-1323
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Find related papers by JEL classification:
L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services

References listed on IDEAS
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  1. David Geltner, 1989. "Estimating Real Estate's Systematic Risk from Aggregate Level Appraisal-Based Returns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 17(4), pages 463-481. [Downloadable!] (restricted)
  2. Kerry D. Vandell, 1991. "Optimal Comparable Selection and Weighting in Real Property Valuation," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 19(2), pages 213-239. [Downloadable!] (restricted)
  3. Fisher, Jeffrey D & Geltner, David M & Webb, R Brian, 1994. "Value Indices of Commercial Real Estate: A Comparison of Index Construction Methods," The Journal of Real Estate Finance and Economics, Springer, vol. 9(2), pages 137-64, September.
  4. Daniel C. Quan & John M. Quigley, 1989. "Inferring an Investment Return Series for Real Estate from Observations on Sales," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 17(2), pages 218-230. [Downloadable!] (restricted)
  5. Damodaran, Aswath & Liu, Crocker H, 1993. "Insider Trading as a Signal of Private Information," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 6(1), pages 79-119. [Downloadable!] (restricted)
  6. David J. Hartzell & David G. Shulma & Vice President, 1987. "Refining the Analysis of Regional Diversification for Income-Producing Real Estate," Journal of Real Estate Research, American Real Estate Society, vol. 2(2), pages 85-95. [Downloadable!]
  7. David Hartzell & John Hekman & Mike Miles, 1986. "Diversification Categories in Investment Real Estate," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 14(2), pages 230-254. [Downloadable!] (restricted)
  8. Young, Michael S & Graff, Richard A, 1995. "Real Estate Is Not Normal: A Fresh Look at Real Estate Return Distributions," The Journal of Real Estate Finance and Economics, Springer, vol. 10(3), pages 225-59, May.
  9. James R. Follairi, 1989. "Inferring an Investment Return Series for Real Estate from Observations on Sales," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 17(2), pages 231-234. [Downloadable!] (restricted)
  10. Mike Miles & Rebel Cole & David Guilkey, 1990. "A Different Look at Commercial Real Estate Returns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 18(4), pages 403-430. [Downloadable!] (restricted)
  11. Ross, Stephen A & Zisler, Randall C, 1991. "Risk and Return in Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 4(2), pages 175-90, June.
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