Get 20M+ Full-Text Papers For Less Than $1.50/day. Start a 14-Day Trial for You or Your Team.

Learn More →

De‐lagging Hong Kong's office price indices via State Space Model with Kalman filter

De‐lagging Hong Kong's office price indices via State Space Model with Kalman filter Purpose – This paper aims to find out whether lagging problems exist within Hong Kong's office values. Design/methodology/approach – A State Space Model with the Kalman filter is deployed in detecting the extent of lagging errors in Hong Kong's office price indices, proffered by the ratings and valuation department (RVD). Findings – The findings suggest that about one year of lagging errors exists in RVD's office price indices compared with the stock market property indices. Also, the finding suggests that the Kalman filter provides a more efficient form of estimates for real estate values and returns. Originality/value – While most studies investigating lagging problems of appraisal‐based returns concentrate on the US real estate market, studies in this regard for Asian countries (or cities) are few and far between. Hong Kong, in particular, is worth studying, considering its established role as a financial centre in South East Asia. This paper also provides some insights for further studies on the prediction of future real estate values, in particular those with fewer transactions. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Property Management Emerald Publishing

De‐lagging Hong Kong's office price indices via State Space Model with Kalman filter

Eddie Chi Man Hui; Ka Hung Yu
Property Management , Volume 26 (2): 12 – Apr 11, 2008
Download PDF
12 pages

Loading next page...
 
/lp/emerald-publishing/de-lagging-hong-kong-s-office-price-indices-via-state-space-model-with-f0mhWBUBEC

References (42)

Publisher
Emerald Publishing
Copyright
Copyright © 2008 Emerald Group Publishing Limited. All rights reserved.
ISSN
0263-7472
DOI
10.1108/02637470810866660
Publisher site
See Article on Publisher Site

Abstract

Purpose – This paper aims to find out whether lagging problems exist within Hong Kong's office values. Design/methodology/approach – A State Space Model with the Kalman filter is deployed in detecting the extent of lagging errors in Hong Kong's office price indices, proffered by the ratings and valuation department (RVD). Findings – The findings suggest that about one year of lagging errors exists in RVD's office price indices compared with the stock market property indices. Also, the finding suggests that the Kalman filter provides a more efficient form of estimates for real estate values and returns. Originality/value – While most studies investigating lagging problems of appraisal‐based returns concentrate on the US real estate market, studies in this regard for Asian countries (or cities) are few and far between. Hong Kong, in particular, is worth studying, considering its established role as a financial centre in South East Asia. This paper also provides some insights for further studies on the prediction of future real estate values, in particular those with fewer transactions.

Journal

Property Management – Emerald Publishing

Published: Apr 11, 2008

Keywords: Real estate; Pricing; Market value; Investments; Hong Kong

There are no references for this article.