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Unsmoothing Commercial Property Returns: A Revision to Fisher–Geltner–Webb's Unsmoothing Methodology
6 references·3 citing·37 second hop
Unsmoothing Commercial Property Returns: A Revision to Fisher–Geltner–Webb's Unsmoothing Methodology (2003)Unsmoothing Commercial Property Returns: …Value indices of commercial real estate: A comparison of index construction methods (1994)Value indices of commercial r…Unsmoothing British valuation‐based returns without assuming an efficient market (1994)Unsmoothing British valuation…Estimating Market Values from Appraised Values without Assuming an Efficient Market (1993)Estimating Market Values from…Risk and return in real estate (1991)Risk and return in real estateInferring an Investment Return Series for Real Estate from Observations on Sales (1989)Inferring an Investment Retur…Property portfolio allocation: A multi‐factor model (1987)Property portfolio allocation…They Would If They Could: Assessing the Bindingness of the Property Holding Constraints for REITs (2017)They Would If They Could: Ass…Volatility Clustering, Risk-Return Relationship, and Asymmetric Adjustment in the Canadian Housing Market (2014)Volatility Clustering, Risk-R…Is There a Risk Premium Puzzle in Real Estate? (2003)Is There a Risk Premium Puzzl…The Efficiency of the Market for Single-Family Homes (1988)Forecasting Prices and Excess Returns in the Housing Market (1990)What Does the Stock Market Tell Us About Real Estate Returns? (1992)Price Discovery in American and British Property Markets (1995)Strategic asset allocation with liabilities: Beyond stocks and bonds (2008)THE ECONOMICS OF JOB SEARCH: A SURVEY (1976)Diversification Categories in Investment Real Estate (1986)How Does Appraisal Smoothing Bias Real Estate Returns Measurement? (2006)Proof that Properly Anticipated Prices Fluctuate Randomly (2015)Land prices and unemployment (2016)Price formation and the appraisal function in real estate markets (1991)Modelling Use, Investment, and Development in the British Office Market (1998)Real Estate Price Indices in Hong Kong (2005)The Journal of Real Estate Finance and Economics (2013)The information content of discounts and premiums on closed-end fund shares (1978)A Model of Housing in the Presence of Adjustment Costs: A Structural Interpretation of Habit Persistence (2008)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The arbitrage theory of capital asset pricing (1976)Time Series Analysis: Forecasting and Control (1977)Interactions Between Property and Equity Markets: An Investigation of Linkages in the United Kingdom 1972–1992 (1997)A Quarterly Transactions-based Index of Institutional Real Estate Investment Performance and Movements in Supply and Demand (2007)Asset returns and inflation (1977)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Permanent and Temporary Components of Stock Prices (1988)Appraisal Smoothing and Price Discovery in Real Estate Markets (2003)Controlling for the Impact of Variable Liquidity in Commercial Real Estate Price Indices (2003)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A Simple Model of Herd Behavior (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)International Direct Real Estate Risk Premiums in a Multi-Factor Estimation Model (2014)The other (commercial) real estate boom and bust: The effects of risk premia and regulatory capital arbitrage (2018)Wishful Thinking in Macroeconomic Expectations (2021)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)House price return volatility patterns in Turkey, Istanbul, Ankara and Izmir (2016)The Behavior of Stock-Market Prices (1965)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)
this work references cited by second hop

References

  • 1993Estimating Market Values from Appraised Values without Assuming an Efficient Market420 cited
  • 1991Risk and return in real estate292 cited
  • 1994Value indices of commercial real estate: A comparison of index construction methods286 cited
  • 1987Property portfolio allocation: A multi‐factor model117 cited
  • 1989Inferring an Investment Return Series for Real Estate from Observations on Sales101 cited
  • 1994Unsmoothing British valuation‐based returns without assuming an efficient market98 cited

Cited by

  • 2003Is There a Risk Premium Puzzle in Real Estate?64 cited
  • 2017They Would If They Could: Assessing the Bindingness of the Property Holding Constraints for REITs23 cited
  • 2014Volatility Clustering, Risk-Return Relationship, and Asymmetric Adjustment in the Canadian Housing Market21 cited

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