Reliability and Heterogeneity of Real Estate Indexes and their Impact on the Predictability of Returns
AbstractThis 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 InfoArticle 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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Web page: http://www.asers.eu/journals/jasf.html
real estate; data divergence; IRR; LGD; efficient frontier;
Find related papers by JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services
- L15 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Information and Product Quality
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- Krzysztof Olszewski, 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,"
National Bank of Poland Working Papers
132, National Bank of Poland, Economic Institute.
- 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.
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