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

Hoon Cho, Yuichiro Kawaguchi, James D. Shilling

研究成果: Article査読

33 被引用数 (Scopus)

抄録

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.

本文言語English
ページ(範囲)393-405
ページ数13
ジャーナルJournal of Real Estate Finance and Economics
27
3
DOI
出版ステータスPublished - 2003 11 1
外部発表はい

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Economics and Econometrics
  • Urban Studies

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