IDEAS home Printed from https://ideas.repec.org/a/bla/reesec/v22y1994i4p647-654.html
   My bibliography  Save this article

Optimal Comparable Weighting and Selection: A Comment

Author

Listed:
  • Richard K. Green

Abstract

Vandell (1991) and Gau, et al. (1992) have recently developed rigorous methods for selecting and weighting comparables for the market comparison approach to valuation. This paper compares the statistical properties of the Vandell and Gau approaches; specifically, it examines the bias and variance produced by both approaches. Under classical OLS assumptions, Vandell's method is preferable; when these assumptions are violated, the size and direction of the violation will determine which method is preferable. Finally, the paper concludes that when the regression producing the adjustment factors has an heteroskedastic error structure, corrections should be made to the regression itself, rather than as part of the comparable weighting and selection process. Copyright American Real Estate and Urban Economics Association.

Suggested Citation

  • Richard K. Green, 1994. "Optimal Comparable Weighting and Selection: A Comment," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 22(4), pages 647-654.
  • Handle: RePEc:bla:reesec:v:22:y:1994:i:4:p:647-654
    as

    Download full text from publisher

    File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/1540-6229.00653
    File Function: link to full text
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Gregory H. Chun & Brian A. Ciochetti & James D. Shilling, 2000. "Pension-Plan Real Estate Investment in an Asset-Liability Framework," Real Estate Economics, American Real Estate and Urban Economics Association, pages 467-491.
    2. Witold Witkiewicz & Hoesli Martin & Lekander Jon, 2003. "International Evidence on Real Estate as a Portfolio Diversifier," ERES eres2003_295, European Real Estate Society (ERES).
    3. Jarl G. Kallberg & Crocker H. Liu & D. Wylie Greig, 1996. "The Role of Real Estate in the Portfolio Allocation Process," Real Estate Economics, American Real Estate and Urban Economics Association, pages 359-377.
    4. Jeff Fisher & David Geltner & Henry Pollakowski, 2007. "A Quarterly Transactions-based Index of Institutional Real Estate Investment Performance and Movements in Supply and Demand," The Journal of Real Estate Finance and Economics, Springer, vol. 34(1), pages 5-33, January.
    5. James, Christopher & Koreisha, Sergio & Partch, Megan, 1985. " A VARMA Analysis of the Causal Relations among Stock Returns, Real Output, and Nominal Interest Rates," Journal of Finance, American Finance Association, vol. 40(5), pages 1375-1384, December.
    6. Gregory H. Chun & J. Sa-Aadu & James D. Shilling, 2004. "The Role of Real Estate in an Institutional Investor's Portfolio Revisited," The Journal of Real Estate Finance and Economics, Springer, vol. 29(3), pages 295-320, November.
    7. Fama, Eugene F, 1975. "Short-Term Interest Rates as Predictors of Inflation," American Economic Review, American Economic Association, pages 269-282.
    8. Lee, Bong-Soo, 1992. " Causal Relations among Stock Returns, Interest Rates, Real Activity, and Inflation," Journal of Finance, American Finance Association, vol. 47(4), pages 1591-1603, September.
    9. Hoevenaars, Roy P.M.M. & Molenaar, Roderick D.J. & Schotman, Peter C. & Steenkamp, Tom B.M., 2008. "Strategic asset allocation with liabilities: Beyond stocks and bonds," Journal of Economic Dynamics and Control, Elsevier, vol. 32(9), pages 2939-2970, September.
    10. Philip Booth, 2001. "Real Estate Investment in an Asset/liability Framework," ERES eres2001_121, European Real Estate Society (ERES).
    11. Fama, Eugene F. & Schwert, G. William, 1977. "Asset returns and inflation," Journal of Financial Economics, Elsevier, vol. 5(2), pages 115-146, November.
    12. Bodie, Zvi, 1976. "Common Stocks as a Hedge against Inflation," Journal of Finance, American Finance Association, vol. 31(2), pages 459-470, May.
    13. Geske, Robert & Roll, Richard, 1983. " The Fiscal and Monetary Linkage between Stock Returns and Inflation," Journal of Finance, American Finance Association, vol. 38(1), pages 1-33, March.
    14. Martin Hoesli & Jon Lekander, 2005. "Suggested vs. Actual Institutional Allocations to Real Estate: A Matter of Size?," ERES eres2005_196, European Real Estate Society (ERES).
    15. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2007. "Investing for the Long-run in European Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 34(1), pages 35-80, January.
    16. Friedman, Harris C., 1971. "Real Estate Investment and Portfolio Theory," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 6(02), pages 861-874, March.
    17. Schotman, Peter C. & Schweitzer, Mark, 2000. "Horizon sensitivity of the inflation hedge of stocks," Journal of Empirical Finance, Elsevier, pages 301-315.
    18. Witold Witkiewicz & Hoesli Martin & Lekander Jon, 2003. "International Evidence on Real Estate as a Portfolio Diversifier," ERES eres2003_295, European Real Estate Society (ERES).
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Donald R. Epley, 1997. "A Note on the Optimal Selection and Weighting of Comparable Properties," Journal of Real Estate Research, American Real Estate Society, vol. 14(2), pages 175-182.
    2. James A. Bryant & Donald R. Epley, 1998. "Cancerphobia: Electromagnetic Fields and Their Impact on Residential Loan Values," Journal of Real Estate Research, American Real Estate Society, vol. 15(1), pages 115-129.
    3. R. Kelley Pace, 1998. "Total Grid Estimation," Journal of Real Estate Research, American Real Estate Society, vol. 15(1), pages 101-114.
    4. George H. Lentz & Ko Wang, 1998. "Residential Appraisal and the Lending Process: A Survey of Issues," Journal of Real Estate Research, American Real Estate Society, vol. 15(1), pages 11-40.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:reesec:v:22:y:1994:i:4:p:647-654. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum). General contact details of provider: http://edirc.repec.org/data/areueea.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.