Smoothing Bias in In-House Appraisal-Based Returns of Open-End Real Estate Funds
Appraisal-based real estate return series often exhibit little variation, which is referred to as smoothing bias. This paper discriminates between in-house and outside appraisals as sources of smoothing bias in appraisal-based returns. There is reason to expect that in-house appraisal-based returns of open-end real estate funds are smoothed. For a large open-end real estate fund listed at the Amsterdam Stock Exchange, an unusually detailed set of data is available, including observations of both in-house and outside appraisals. The empirical findings suggest that in-house appraisal-based returns are smoothed, whereas those based on independent outside appraisals are not.
Volume (Year): 8 (1993)
Issue (Month): 2 ()
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