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Reliability And Heterogeneity Of Real Estate Indexes And Their Impact On The Predictability Of Returns

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  • Francesca Battaglia
  • Claudio Porzio
  • Gabriele Sampagnaro

Abstract

This paper addresses the issue of data quality in the real estate market In many countries the returns indices for direct markets are provided by several sources differing in terms of the methodology adopted and index weights These differences produce a lack of informative standardization which could negatively affect the ability of market participants to make predictions Focusing on the Italian real estate market the aim of this paper is therefore twofold to investigate the reliability of property data sources and to assess the impact for financial intermediaries involved in real estate investing Our results show a significant level of divergence between the data and considerable implications for those financial institutions dealing with them These findings conflict with the requirements of an efficient or at least sub efficient market

Suggested Citation

  • Francesca Battaglia & Claudio Porzio & Gabriele Sampagnaro, 2010. "Reliability And Heterogeneity Of Real Estate Indexes And Their Impact On The Predictability Of Returns," Journal of Advanced Studies in Finance, ASERS Publishing, vol. 1(2), pages 188-196.
    • Handle: RePEc:srs:jasf00:v:1:y:2010:i:2:p:188-196
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    Cited by:

    1. Krzysztof Olszewski, 2013. "The Commercial Real Estate Market, Central Bank Monitoring and Macroprudential Policy," Review of Economic Analysis, Digital Initiatives at the University of Waterloo Library, vol. 5(2), pages 213-250, December.

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