메뉴 건너뛰기




Volumn 13, Issue 1, 1996, Pages 12-

Risk estimation and appraisal-smoothing in UK property returns

Author keywords

Appraisal smoothing; IPD; Risk estimation; Temporal aggregation

Indexed keywords


EID: 85008820663     PISSN: 09599916     EISSN: 14664453     Source Type: Journal    
DOI: 10.1080/095999196368835     Document Type: Article
Times cited : (18)

References (40)
  • 1
    • 0001564888 scopus 로고
    • Property portfolio allocation: A multi-factor model
    • Blundell, G. and Ward, C. (1987) Property portfolio allocation: a multi-factor model, Land Development Studies, 4(2), 145–56.
    • (1987) Land Development Studies , vol.4 , Issue.2 , pp. 145-156
    • Blundell, G.1    Ward, C.2
  • 3
    • 0041770537 scopus 로고
    • The performance of portfolios of REITs and stocks
    • Burns, W. and Epley, D. (1982) The performance of portfolios of REITs and stocks, Journal of Portfolio Management, Spring, 37–42.
    • (1982) Journal of Portfolio Management , Issue.Spring , pp. 37-42
    • Burns, W.1    Epley, D.2
  • 4
    • 84983931920 scopus 로고
    • Risk and return on real estate: Evidence from equity REITs
    • Chan, K., Hendershott, P. and Sanders, A. (1990) Risk and return on real estate: evidence from equity REITs, A REUEA Journal, 18(4), 431–52.
    • (1990) A REUEA Journal , vol.18 , Issue.4 , pp. 431-452
    • Chan, K.1    Hendershott, P.2    Sanders, A.3
  • 5
    • 0000848615 scopus 로고
    • Value indices of commercial real estate: A comparison of index construction methods
    • Fisher, J., Geltner, D. and Webb, B. (1994) Value indices of commercial real estate: a comparison of index construction methods. Journal of Real Estate Finance and Economics, 9, 137–64.
    • (1994) Journal of Real Estate Finance and Economics , vol.9 , pp. 137-164
    • Fisher, J.1    Geltner, D.2    Webb, B.3
  • 7
    • 84984016484 scopus 로고
    • Estimating real estate’s systematic risk from aggregate level appraisal-based returns
    • Geltner, D. (1989) Estimating real estate’s systematic risk from aggregate level appraisal-based returns, A REUEA Journal, 17(4), 463–81.
    • (1989) A REUEA Journal , vol.17 , Issue.4 , pp. 463-481
    • Geltner, D.1
  • 9
    • 84983947135 scopus 로고
    • Appraisal-based real estate returns under alternative market regimes
    • Giaccotto, C. and Clapp, J. (1992) Appraisal-based real estate returns under alternative market regimes, A REUEA Journal, 20(1), 1–24.
    • (1992) A REUEA Journal , vol.20 , Issue.1 , pp. 1-24
    • Giaccotto, C.1    Clapp, J.2
  • 10
    • 0042395651 scopus 로고
    • A note on the use of appraisal data in indices of performance measurement
    • Giliberto, M. (1988) A note on the use of appraisal data in indices of performance measurement, A REUEA Journal, 16(1), 77–83.
    • (1988) A REUEA Journal , vol.16 , Issue.1 , pp. 77-83
    • Giliberto, M.1
  • 11
    • 29144497929 scopus 로고
    • Equity REITs and portfolio diversification
    • Giliberto, M. (1990) Equity REITs and portfolio diversification, Journal of Real Estate Research, 5, 259–64.
    • (1990) Journal of Real Estate Research , vol.5 , pp. 259-264
    • Giliberto, M.1
  • 14
    • 0141986421 scopus 로고
    • Measuring real estate returns: The hedged REIT index
    • Giliberto, M. (1993) Measuring real estate returns: the hedged REIT index, Journal of Portfolio Management, Spring, 94–99.
    • (1993) Journal of Portfolio Management , Issue.Spring , pp. 94-99
    • Giliberto, M.1
  • 16
    • 0009787448 scopus 로고
    • The variance of the product of k random variables
    • Goodman, L. (1962) The variance of the product of k random variables, Amercian Statistical Association Journal, 59, 54–60.
    • (1962) Amercian Statistical Association Journal , vol.59 , pp. 54-60
    • Goodman, L.1
  • 17
    • 0006097018 scopus 로고
    • Real estate risk and return expectations: Recent survey results
    • Hartzell, D. and Webb, J. (1988) Real estate risk and return expectations: recent survey results, Journal of Real Estate Research, 3, 31–38.
    • (1988) Journal of Real Estate Research , vol.3 , pp. 31-38
    • Hartzell, D.1    Webb, J.2
  • 18
    • 0000695986 scopus 로고
    • Towards indices of real estate value and return
    • Hoag, J. (1980) Towards indices of real estate value and return, Journal of Finance, 35, 569–80.
    • (1980) Journal of Finance , vol.35 , pp. 569-580
    • Hoag, J.1
  • 19
    • 0006024058 scopus 로고
    • Portfolio diversification and return benefits - common stock versus REITs
    • Kuhle, J. (1987) Portfolio diversification and return benefits - common stock versus REITs, Journal of Real Estate Research, 2, 1–9.
    • (1987) Journal of Real Estate Research , vol.2 , pp. 1-9
    • Kuhle, J.1
  • 20
    • 84945592329 scopus 로고
    • Property returns in a portfolio context
    • Lee, S. (1989) Property returns in a portfolio context, Journal of Valuation, 7, 248–58.
    • (1989) Journal of Valuation , vol.7 , pp. 248-258
    • Lee, S.1
  • 21
    • 84984080934 scopus 로고
    • The composition of the market portfolio and real estate investment performance
    • Liu, C., Hartzell, D., Grissom, T. and Grieg, W. (1990) The composition of the market portfolio and real estate investment performance, A REUEA Journal, 18, 49–75.
    • (1990) A REUEA Journal , vol.18 , pp. 49-75
    • Liu, C.1    Hartzell, D.2    Grissom, T.3    Grieg, W.4
  • 22
    • 3543037354 scopus 로고
    • A survey of pension fund real estate portfolio risk management practices
    • Louargand, M. (1992) A survey of pension fund real estate portfolio risk management practices, Journal of Real Estate Research, 7, 361–74.
    • (1992) Journal of Real Estate Research , vol.7 , pp. 361-374
    • Louargand, M.1
  • 23
    • 0039845993 scopus 로고
    • The real estate pricing puzzle
    • Lusht, K. (1988) The real estate pricing puzzle, A REUEA Journal, 16, 95–104.
    • (1988) A REUEA Journal , vol.16 , pp. 95-104
    • Lusht, K.1
  • 24
    • 0006025565 scopus 로고
    • Risk and return: Constructing a property portfolio
    • MacGregor, B. (1990) Risk and return: constructing a property portfolio, Journal of Valuation, 8, 233–42.
    • (1990) Journal of Valuation , vol.8 , pp. 233-242
    • Macgregor, B.1
  • 25
    • 84945599618 scopus 로고
    • The allocation to property in the multi-asset portfolio: The evidence and theory reconsidered
    • MacGregor, B. and Nanthakumaran, N. (1992) The allocation to property in the multi-asset portfolio: the evidence and theory reconsidered. Journal of Property Research, 9, 5–32.
    • (1992) Journal of Property Research , vol.9 , pp. 5-32
    • Macgregor, B.1    Nanthakumaran, N.2
  • 26
    • 84978879504 scopus 로고
    • A different look at commercial real estate returns
    • Miles, M., Cole, R. and Guilkey, D. (1990) A different look at commercial real estate returns, A REUEA Journal, 18, 403–30.
    • (1990) A REUEA Journal , vol.18 , pp. 403-430
    • Miles, M.1    Cole, R.2    Guilkey, D.3
  • 31
    • 12444301986 scopus 로고
    • Institutional real estate performance benchmarks: An international perspective
    • Newell, G. and Webb, J. (1994) Institutional real estate performance benchmarks: an international perspective, Journal of Real Estate Literature, 2, 215–23.
    • (1994) Journal of Real Estate Literature , vol.2 , pp. 215-223
    • Newell, G.1    Webb, J.2
  • 32
    • 84984062248 scopus 로고
    • Inferring an investment return series for real estate from observations on sales
    • Quan, D. and Quigley, J. (1989) Inferring an investment return series for real estate from observations on sales, A REUEA Journal, 17, 218–34.
    • (1989) A REUEA Journal , vol.17 , pp. 218-234
    • Quan, D.1    Quigley, J.2
  • 33
    • 0041471062 scopus 로고
    • Price formation and the appraisal function in real estate markets
    • Quan, D. and Quigley, J. (1991) Price formation and the appraisal function in real estate markets. Journal of Real Estate Finance and Economics, 4, 129–46.
    • (1991) Journal of Real Estate Finance and Economics , vol.4 , pp. 129-146
    • Quan, D.1    Quigley, J.2
  • 37
    • 84983918191 scopus 로고
    • Effect of alternative return measures on restricted mixed-asset portfolios
    • Webb, J. and Rubens, J. (1988) Effect of alternative return measures on restricted mixed-asset portfolios, A REUEA Journal, 16, 123–37.
    • (1988) A REUEA Journal , vol.16 , pp. 123-137
    • Webb, J.1    Rubens, J.2
  • 38
    • 84983918162 scopus 로고
    • Transaction-driven commercial real estate returns: The panacea to asset allocation models?
    • Webb, B., Miles, M. and Guilkey, D. (1992) Transaction-driven commercial real estate returns: the panacea to asset allocation models? A REUEA Journal, 20, 325–57.
    • (1992) A REUEA Journal , vol.20 , pp. 325-357
    • Webb, B.1    Miles, M.2    Guilkey, D.3
  • 39
    • 84984067858 scopus 로고
    • Income and appraised values: A re-examination of the FRC returns data
    • Wheaton, W. and Torto, R. (1989) Income and appraised values: a re-examination of the FRC returns data, A REUEA Journal, 17, 439–49.
    • (1989) A REUEA Journal , vol.17 , pp. 439-449
    • Wheaton, W.1    Torto, R.2
  • 40
    • 0000304809 scopus 로고
    • Note on the correlation of the first difference of averages in a random chain
    • Working, H. (1960) Note on the correlation of the first difference of averages in a random chain, Econometrica, 28, 916–918.
    • (1960) Econometrica , vol.28 , pp. 916-918
    • Working, H.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.