Unsmoothing Commercial Property Returns: A Revision to Fisher–Geltner–Webb's Unsmoothing Methodology

Unsmoothing Commercial Property Returns: A Revision to Fisher–Geltner–Webb's Unsmoothing... Fisher, Geltner, and Webb (1993), in a highly influential paper, develop a procedure to recover the underlying market values from a smoothed valuation-based commercial property return index, without assuming that the underlying property market is informationally efficient. Many papers since then have used the Fisher–Geltner–Webb unsmoothing technique to desmooth commercial property returns. We show, however, that there is an inherent bias in Fisher–Geltner–Webb unsmoothing technique and propose a simple extension of their model to correct for this bias. We then compare the performance of our improved specification to that of the Fisher–Geltner–Webb model. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png The Journal of Real Estate Finance and Economics Springer Journals

Unsmoothing Commercial Property Returns: A Revision to Fisher–Geltner–Webb's Unsmoothing Methodology

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Kluwer Academic Publishers
Copyright © 2003 by Kluwer Academic Publishers
Economics; Regional/Spatial Science; Financial Services
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