Unsmoothing Commercial Property Returns: A Revision to Fisher-Geltner-Webb's Unsmoothing Methodology

Journal of Real Estate Finance and Economics

Volumn 27, Issue 3, 2003, Pages 393-405

  Cho, Hoon ^a   Kawaguchi, Yuichiro ^b   Shilling, James D ^a  

^a UNIVERSITY OF WISCONSIN MADISON   (United States)

^b MEIKAI UNIVERSITY SCHOOL OF DENTISTRY   (Japan)

Author keywords

Asset pricing; Expectations; Real estate markets

Indexed keywords

EID: 0345012020     PISSN: 08955638     EISSN: None     Source Type: Journal    
DOI: 10.1023/A:1025898325952     Document Type: Article

References (7)

1. Barkham, R., and D. Geltner. (1994). "Unsmoothing British Valuation-Based Returns Without Assuming an Efficient Market," Journal of Property Research 11, 81-95.
2. Brown, G. R., and G. A. Matysiak. (1998). "Valuation Smoothing without Temporal Aggregation," Journal of Property Research 15, 89-103.
3. Blundell, D., and C. W. R. Ward. (1987). "Property Portfolio Allocation: A Multi-Factor Model," Journal of Development Studies 4, 145-156.
4. Fisher, J. D., D. M. Geltner, and R. B. Webb. (1994). "Value Indices of Commercial Real Estate: A Comparison of Index Construction Methods," Journal of Real Estate Finance and Economics 9, 137-164.
5. Geltner, D. M. (1993). "Estimating Market Values from Appraised Values Without Assuring an Efficient Market," Journal of Real Estate Research 8, 325-345.
6. Quan, D., and J. Quigley. (1989). "Inferring an Investment Return Series for Real Estate from Observations on Sales," AREUEA Journal 17(2), 218-230.
7. Ross, S. A., and R. Zisler. (1991). "Risk and Return in Real Estate," Journal of Real Estate Finance and Economics 4, 175-190.