TY - JOUR
T1 - Unsmoothing Commercial Property Returns
T2 - A Revision to Fisher-Geltner-Webb's Unsmoothing Methodology
AU - Cho, Hoon
AU - Kawaguchi, Yuichiro
AU - Shilling, James D.
PY - 2003/11/1
Y1 - 2003/11/1
N2 - Fisher, Geltner, and Webb (1993), in a highly influential paper, develop a procedure to recover the underlying market values from a smoothed valuation-based commercial property return index, without assuming that the underlying property market is informationally efficient. Many papers since then have used the Fisher-Geltner-Webb unsmoothing technique to desmooth commercial property returns. We show, however, that there is an inherent bias in Fisher-Geltner-Webb unsmoothing technique and propose a simple extension of their model to correct for this bias. We then compare the performance of our improved specification to that of the Fisher-Geltner-Webb model.
AB - Fisher, Geltner, and Webb (1993), in a highly influential paper, develop a procedure to recover the underlying market values from a smoothed valuation-based commercial property return index, without assuming that the underlying property market is informationally efficient. Many papers since then have used the Fisher-Geltner-Webb unsmoothing technique to desmooth commercial property returns. We show, however, that there is an inherent bias in Fisher-Geltner-Webb unsmoothing technique and propose a simple extension of their model to correct for this bias. We then compare the performance of our improved specification to that of the Fisher-Geltner-Webb model.
KW - Asset pricing
KW - Expectations
KW - Real estate markets
UR - http://www.scopus.com/inward/record.url?scp=0345012020&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=0345012020&partnerID=8YFLogxK
U2 - 10.1023/A:1025898325952
DO - 10.1023/A:1025898325952
M3 - Article
AN - SCOPUS:0345012020
VL - 27
SP - 393
EP - 405
JO - Journal of Real Estate Finance and Economics
JF - Journal of Real Estate Finance and Economics
SN - 0895-5638
IS - 3
ER -