Robust desmoothed real estate returns

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

*Corresponding author for this work

Research output: Contribution to journalArticle

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 languageEnglish
JournalReal Estate Economics
Early online date25 May 2020
DOIs
Publication statusE-pub ahead of print - 25 May 2020

Keywords

  • Desmoothing models
  • robust filter
  • appraisal-based index
  • private real estate
  • unlevered REITs
  • INFORMATION
  • RISK
  • ASSET
  • APPRAISAL
  • DYNAMICS
  • INDEX
  • AGGREGATION
  • desmoothing models

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