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

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10.1111/1540-6229.12313Licence: Unspecified

Link to publication in Scopus

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Hoesli_et_al_REE_RobustDesmoothedRealEstateReturns_AAM
Accepted author manuscript, 601 KB
Licence: Unspecified
Embargo ends: 25/05/21

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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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Robust desmoothed real estate returns

Abstract

Keywords

Access to Document

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Martin Hoesli

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