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Unsmoothing British valuation‐based returns without assuming an efficient market
11 references·10 citing·48 second hop
Unsmoothing British valuation‐based returns without assuming an efficient market (1994)Unsmoothing British valuation‐based retur…The Journal of Real Estate Finance and Economics (2013)The Journal of Real Estate Fi…Value indices of commercial real estate: A comparison of index construction methods (1994)Value indices of commercial r…Temporal Aggregation in Real Estate Return Indices (1993)Temporal Aggregation in Real …Estimating Market Values from Appraised Values without Assuming an Efficient Market (1993)Estimating Market Values from…Price formation and the appraisal function in real estate markets (1991)Price formation and the appra…The Composition of the Market Portfolio and Real Estate Investment Performance (1990)The Composition of the Market…A Different Look at Commercial Real Estate Returns (1990)A Different Look at Commercia…Inferring an Investment Return Series for Real Estate from Observations on Sales (1989)Inferring an Investment Retur…Estimating Real Estate's Systematic Risk from Aggregate Level Appraisal‐Based Returns (1989)Estimating Real Estate's Syst…Property portfolio allocation: A multi‐factor model (1987)Property portfolio allocation…Towards Indices of Real Estate Value and Return (1980)Towards Indices of Real Estat…How Does Appraisal Smoothing Bias Real Estate Returns Measurement? (2006)How Does Appraisal Smoothing …Real Estate Price Indices in Hong Kong (2005)Real Estate Price Indices in …Unsmoothing Commercial Property Returns: A Revision to Fisher–Geltner–Webb's Unsmoothing Methodology (2003)Unsmoothing Commercial Proper…A Measure of Fundamental Volatility in the Commercial Property Market (2003)A Measure of Fundamental Vola…Inflation Risk Analysis of European Real Estate Securities (2002)Inflation Risk Analysis of Eu…Price discovery in the Hong Kong real estate market (2001)Price discovery in the Hong K…The predictability of real office rents (1999)The predictability of real of…Recovery of Real Estate Returns for Portfolio Allocation (1999)Recovery of Real Estate Retur…Modelling Use, Investment, and Development in the British Office Market (1998)Modelling Use, Investment, an…The Short-Term Inflation-Hedging Characteristics of U.K. Real Estate (1997)The Short-Term Inflation-Hedg…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)An empirical analysis of property appraisal and mortgage redlining (1996)Proof that Properly Anticipated Prices Fluctuate Randomly (2015)Land prices and unemployment (2016)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Real Estate Returns: A Comparison with Other Investments (1984)Empirical Tests of the Consumption‐Oriented CAPM (1989)Smoothing in Commercial Property Valuations: Evidence from Individual Appraisals (2001)Do Out‐of‐State Buyers Pay More for Real Estate? An Examination of Anchoring‐Induced Bias and Search Costs (2004)Illiquidity and Pricing Biases in the Real Estate Market (2007)Estimating betas from nonsynchronous data (1977)Risk measurement when shares are subject to infrequent trading (1979)The effect of personal taxes and dividends on capital asset prices (1979)Commercial Real Estate Returns (1984)Factors Influencing Capitalization Rates (1993)The Role of Real Estate in the Portfolio Allocation Process (1996)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)The allocation to property in the multi‐asset portfolio: The evidence and theory reconsidered (1992)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)A Regression Method for Real Estate Price Index Construction (1963)Price Indexes and Quality Change (1971)Appraisals, Transaction Incentives, and Smoothing (1997)Appraisal Smoothing: The Other Side of the Story (1998)Housing Price Dispersion: An Empirical Investigation (2006)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)Information, trade and common knowledge (1982)Perfect Equilibrium in a Bargaining Model (1982)Do Real Estate Prices and Stock Prices Move Together? An International Analysis (1999)Hedonic Prices and Implicit Markets: Product Differentiation in Pure Competition (1974)Real Estate Returns and Inflation (1987)Office Rent Determinants in the Chicago Area (1992)The Causal Relationship Between Real Estate and Stock Markets (2000)Environmental Variables and Real Estate Prices (2001)Evidence on Discrimination in Mortgage Lending (1998)Estimates of the Size and Source of Price Declines Due to Nearby Foreclosures (2014)
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References

  • 2013The Journal of Real Estate Finance and Economics512 cited
  • 1993Estimating Market Values from Appraised Values without Assuming an Efficient Market420 cited
  • 1991Price formation and the appraisal function in real estate markets329 cited
  • 1994Value indices of commercial real estate: A comparison of index construction methods286 cited
  • 1989Estimating Real Estate's Systematic Risk from Aggregate Level Appraisal‐Based Returns185 cited
  • 1993Temporal Aggregation in Real Estate Return Indices136 cited
  • 1980Towards Indices of Real Estate Value and Return135 cited
  • 1987Property portfolio allocation: A multi‐factor model117 cited
  • 1990A Different Look at Commercial Real Estate Returns110 cited
  • 1989Inferring an Investment Return Series for Real Estate from Observations on Sales101 cited
  • 1990The Composition of the Market Portfolio and Real Estate Investment Performance42 cited

Cited by

  • 2006How Does Appraisal Smoothing Bias Real Estate Returns Measurement?86 cited
  • 2005Real Estate Price Indices in Hong Kong80 cited
  • 2001Price discovery in the Hong Kong real estate market76 cited
  • 1998Modelling Use, Investment, and Development in the British Office Market

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76 cited
  • 1997The Short-Term Inflation-Hedging Characteristics of U.K. Real Estate67 cited
  • 2003Unsmoothing Commercial Property Returns: A Revision to Fisher–Geltner–Webb's Unsmoothing Methodology64 cited
  • 1999Recovery of Real Estate Returns for Portfolio Allocation62 cited
  • 1999The predictability of real office rents38 cited
  • 2003A Measure of Fundamental Volatility in the Commercial Property Market35 cited
  • 2002Inflation Risk Analysis of European Real Estate Securities31 cited