IDEAS home Printed from https://ideas.repec.org/p/arz/wpaper/eres2000_076.html
   My bibliography  Save this paper

Temporal And Spatial Variations In Market Liquidity, Appraisal Smoothing And Price Discovery In Private And Public Real Estate Markets

Author

Listed:
  • Bryan D. Macgregor
  • Gregory M. Schwann

Abstract

This paper considers the processes of appraisal smoothing within the direct real estate market and of price discovery between the indirect and direct real estate markets. Appraisal smoothing involves the optimum combination of past and current information, the latter observed with an error. Price discovery between the markets requires that information is incorporated into price more quickly in one market than the other. We hypothesise that both appraisal smoothing and price discovery to vary according to market liquidity, both temporally and in cross section. A model of the combined processes is constructed and estimated separately for the U. S., U. K., Singapore and Hong Kong. A Kalman filter is used to extract and update market price and fundamental price series from the observed appraisal series. Liquidity is proxied temporally by price change.

Suggested Citation

  • Bryan D. Macgregor & Gregory M. Schwann, 2000. "Temporal And Spatial Variations In Market Liquidity, Appraisal Smoothing And Price Discovery In Private And Public Real Estate Markets," ERES eres2000_076, European Real Estate Society (ERES).
    • Handle: RePEc:arz:wpaper:eres2000_076
    as

    Download full text from publisher

    File URL: https://eres.architexturez.net/doc/oai-eres-id-eres2000-076
    Download Restriction: no
    ---><---

    Citations

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


    Cited by:

    1. Pat McAllister & Andrew Baum & Neil Crosby & Paul Gallimore & Adelaide Gray, 2003. "Appraiser behaviour and appraisal smoothing: some qualitative and quantitative evidence," Journal of Property Research, Taylor & Francis Journals, vol. 20(3), pages 261-280, January.

    More about this item

    JEL classification:

    • R3 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location

    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:arz:wpaper:eres2000_076. See general information about how to correct material in RePEc.

    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 bibliographic 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.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Architexturez Imprints (email available below). General contact details of provider: https://edirc.repec.org/data/eressea.html .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.