Considerations in the Design and Construction of Investment Real Estate Research Indices
Since the founding of NCREIF almost three decades ago statistical methodologies useful for investment performance index construction have advanced dramatically, notably including developments such as the repeated-measures regression (RMR) and related noise-filtering techniques. In recent years, electronic databases of commercial property prices have been developed that far exceed the quality and coverage of those databases available only a few years ago. Together, these two developments offer capabilities for transactions-based indices, mass appraisal, and other tools that could be very useful for improving real estate research indices. This paper focuses on the technical considerations associated with the design and construction of commercial real estate return indices for asset class research. In particular, we discuss in detail property sampling issues, differences between transaction price and appraisal based indices, the trade-off between random measurement error and temporal lag bias, optimal reporting and property revaluation frequencies, and the uses and limitations of some econometric methods of index construction developed over the past decade in the real estate academic literature.
Volume (Year): 28 (2006)
Issue (Month): 4 ()
|Contact details of provider:|| Postal: American Real Estate Society Clemson University School of Business & Behavioral Science Department of Finance 401 Sirrine Hall Clemson, SC 29634-1323|
Web page: http://www.aresnet.org/
|Order Information:|| Postal: Diane Quarles American Real Estate Society Manager of Member Services Clemson University Box 341323 Clemson, SC 29634-1323|
Web: http://pages.jh.edu/jrer/about/get.htm Email:
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Yuming Fu, 2003. "Estimating the Lagging Error in Real Estate Price Indices," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 31(1), pages 75-98, 03.
- 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 137-164, September.
- 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.
- Jeffrey Fisher & Dean Gatzlaff & David Geltner & Donald Haurin, 2003. "Controlling for the Impact of Variable Liquidity in Commercial Real Estate Price Indices," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 31(2), pages 269-303, 06.
- Richard Barkham & David Geltner, 1995. "Price Discovery in American and British Property Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 23(1), pages 21-44.
- Julian Diaz & Marvin L. Wolverton, 1998. "A Longitudinal Examination of the Appraisal Smoothing Hypothesis," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 26(2), pages 349-358.
- Russell Chaplin, 1997. "Unsmoothing valuation-based indices using multiple regimes," Journal of Property Research, Taylor & Francis Journals, vol. 14(3), pages 189-210, January.