Robust desmoothed real estate returns

Jean-Christophe Delfim; Martin E. Hoesli

doi:10.1111/1540-6229.12313

Robust desmoothed real estate returns

Jean-Christophe Delfim^* (Corresponding Author), Martin E. Hoesli

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

Abstract

This research starts from the observation that common desmoothing models are likely to generate some extreme returns that will distort risk measurement and hence can lead to investment decisions that are suboptimal relative to those that would be made if a transaction-based index were available. Thus, we propose to improve the desmoothing models by incorporating a robust filter into the procedure. We report that in addition to properly treating for smoothing, the method prevents the occurrence of extreme values. As shown with U.S. data, our method leads to desmoothed series whose characteristics are akin to those of transaction-based indices.

Original language	English
Pages (from-to)	75-105
Number of pages	31
Journal	Real Estate Economics
Volume	49
Issue number	1
Early online date	25 May 2020
DOIs	https://doi.org/10.1111/1540-6229.12313
Publication status	Published - 19 Feb 2021

Keywords

Desmoothing models
robust filter
appraisal-based index
private real estate
unlevered REITs
desmoothing models

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10.1111/1540-6229.12313Licence: Unspecified

Hoesli_et_al_REE_RobustDesmoothedRealEstateReturns_AAM
This is the peer reviewed version of the following article: [Delfim, JC, Hoesli, M. Robust desmoothed real estate returns. Real Estate Econ. 2021; 49: 75– 105], which has been published in final form at https://doi.org/10.1111/1540-6229.12313. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions.
Accepted author manuscript, 601 KBLicence: Unspecified

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Martin Hoesli
- Business and Management Studies
- Business School, Accountancy & Finance, Accountancy - Chair in Accountancy
Person: Academic

Cite this

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note = "ACKNOWLEDGMENTS We thank Shaun Bond, Marc Francke, David Geltner, and Jeffrey Fisher for inspiring thoughts and insights. We also extend our gratitude to Itzhak Ben-David, our discussant at the 2018 Real Estate Finance and Investment Symposium in Gainesville, Florida, and participants at this event for their useful comments.",

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Robust desmoothed real estate returns

Abstract

Keywords

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Martin Hoesli

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