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Reliability and Heterogeneity of Real Estate Indexes and their Impact on the Predictability of Returns

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Author Info

  • Francesca Battaglia

    ()
    (University Parthenope of Naples, Italy)

  • Claudio Porzio

    ()
    (University Parthenope of Naples, Italy)

  • Gabriele Sampagnaro

    ()
    (University Parthenope of Naples, Italy)

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    Abstract

    This paper addresses the issue of data quality in the real estate market. In many countries, the returns indices for direct markets are provided by several sources differing in terms of the methodology adopted and index weights. These differences produce a lack of informative standardization, which could negatively affect the ability of market participants to make predictions. Focusing on the Italian real estate market, the aim of this paper is therefore twofold: to investigate the reliability of property data sources and to assess the impact for financial intermediaries involved in real estate investing. Our results show a significant level of divergence between the data, and considerable implications for those financial institutions dealing with them. These findings conflict with the requirements of an efficient (or at least sub-efficient) market.

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    Bibliographic Info

    Article provided by ASERS Publishing in its journal Journal of Advanced Studies in Finance.

    Volume (Year): I (2010)
    Issue (Month): 2 (December)
    Pages: 188 - 203

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    Handle: RePEc:srs:jasf12:2:v:1:y:2010:i:2:p:188-203

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    Web page: http://www.asers.eu/journals/jasf.html

    Related research

    Keywords: real estate; data divergence; IRR; LGD; efficient frontier;

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    Cited by:
    1. Olszewski, Krzysztof, 2012. "The impact of commercial real estate on the financial sector, its tracking by central banks and some recommendations for the macro-financial stability policy of central banks," MPRA Paper 41059, University Library of Munich, Germany.
    2. Krzysztof Olszewski, 2013. "The Commercial Real Estate Market, Central Bank Monitoring and Macroprudential Policy," Review of Economic Analysis, Rimini Centre for Economic Analysis, vol. 5(2), pages 213-250, December.

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