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Estimating Market Values from Appraised Values without Assuming an Efficient Market

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Cited by:

  1. Dimitrios Gounopoulos & Kyriaki Kosmidou & Dimitrios Kousenidis & Victoria Patsika, 2019. "The investigation of the dynamic linkages between real estate market and stock market in Greece," The European Journal of Finance, Taylor & Francis Journals, vol. 25(7), pages 647-669, May.
  2. Joseph L. Pagliari, Jr. & James R. Webb, 1995. "A Fundamental Examination of Securitized and Unsecuritized Real Estate," Journal of Real Estate Research, American Real Estate Society, vol. 10(4), pages 381-426.
  3. Dimson, Elroy & Spaenjers, Christophe, 2011. "Ex post: The investment performance of collectible stamps," Journal of Financial Economics, Elsevier, vol. 100(2), pages 443-458, May.
  4. Ogonna Nneji & Chris Brooks & Charles Ward, 2013. "Commercial Real Estate and Equity Market Bubbles: Are They Contagious to REITs?," Urban Studies, Urban Studies Journal Limited, vol. 50(12), pages 2496-2516, September.
  5. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2009. "Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 37(3), pages 341-381, September.
  6. Ewelina Badura, 2020. "Investing in Real Estate - Legal Risks," MIC 2020: The 20th Management International Conference,, University of Primorska Press.
  7. Tim A. Kroencke & Felix Schindler & Bertram I. Steininger, 2018. "The Anatomy of Public and Private Real Estate Return Premia," The Journal of Real Estate Finance and Economics, Springer, vol. 56(3), pages 500-523, April.
  8. Platanakis, Emmanouil & Sakkas, Athanasios & Sutcliffe, Charles, 2019. "Harmful diversification: Evidence from alternative investments," The British Accounting Review, Elsevier, vol. 51(1), pages 1-23.
  9. David Geltner & Bryan D. MacGregor & Gregory M. Schwann, 2003. "Appraisal Smoothing and Price Discovery in Real Estate Markets," Urban Studies, Urban Studies Journal Limited, vol. 40(5-6), pages 1047-1064, May.
  10. Jim Clayton, 1996. "Market Fundamentals, Risk and the Canadian Property Cycle: Implications for Property Valuation and Investment Decisions," Journal of Real Estate Research, American Real Estate Society, vol. 12(3), pages 347-368.
  11. Camilo Serrano & Martin Hoesli, 2012. "Fractional Cointegration Analysis of Securitized Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 44(3), pages 319-338, April.
  12. Armonat, Stefan & Pfnür, Andreas, 2003. "Asset allocation versus entrepreneurial decisions in real estate investment," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 35582, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
  13. McKenzie, Michael & Satchell, Stephen & Wongwachara, Warapong, 2012. "Nonlinearity and smoothing in venture capital performance data," Journal of Empirical Finance, Elsevier, vol. 19(5), pages 782-795.
  14. Huyen Nguyen-Thi-Thanh & Georges Gallais-Hamonno & Thi H.V. Hoang, 2008. "Faut-il corriger les rentabilités des hedge funds?," Post-Print halshs-00106400, HAL.
  15. Baroni, Michel & Barthelemy, Fabrice & Mokrane, Madhi, 2003. "Which Capital Growth Index for the Paris Residential Market?," ESSEC Working Papers DR 03002, ESSEC Research Center, ESSEC Business School.
  16. ABEDALFATTAH Zuhair Al-Abedallat & FARIS Nasif AL- Shubiri, 2013. "Analysis The Determinants Of Credit Risk In Jordanian Banking: An Empirical Study," Management Research and Practice, Research Centre in Public Administration and Public Services, Bucharest, Romania, vol. 5(3), pages 21-31, September.
  17. Alan J. Ziobrowski & Harry McAlum & Brigitte J. Ziobrowski, 1996. "Taxes and Foreign Real Estate Investment," Journal of Real Estate Research, American Real Estate Society, vol. 11(2), pages 197-213.
  18. Christian Rehring, 2012. "Real Estate in a Mixed‐Asset Portfolio: The Role of the Investment Horizon," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 40(1), pages 65-95, March.
  19. Khalid Sekkat & Ariane Szafarz, 2011. "Valuing Homeownership," The Journal of Real Estate Finance and Economics, Springer, vol. 43(4), pages 491-504, November.
  20. Jaroslaw Morawski & Heinz Rehkugler & Roland Füss, 2008. "The nature of listed real estate companies: property or equity market?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 22(2), pages 101-126, June.
  21. David C. Ling & Chongyu Wang & Tingyu Zhou, 2022. "Asset productivity, local information diffusion, and commercial real estate returns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 50(1), pages 89-121, March.
  22. Colin Lizieri & Charles Ward, 2000. "Commercial Real Estate Return Distributions: A Review Of Literature And Empirical Evidence," Real Estate & Planning Working Papers rep-wp2000-01, Henley Business School, University of Reading.
  23. Chris Brooks & Harry. M Kat, 2001. "The Statistical Properties of Hedge Fund Index Returns," ICMA Centre Discussion Papers in Finance icma-dp2001-09, Henley Business School, University of Reading.
  24. Peter Ö. hman & Bo Söderberg & Stig Westerdahl, 2012. "Property investor behaviour: qualitative analysis of a very large transaction," ERES eres2012_376, European Real Estate Society (ERES).
  25. Andrey Pavlov & Eva Steiner & Susan Wachter, 2018. "The Consequences of REIT Index Membership for Return Patterns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 46(1), pages 210-250, March.
  26. Martin Hoesli & Jon Lekander & Witold Witkiewicz, 2004. "New International Evidence on Real Estate as a Portfolio Diversifier," Journal of Real Estate Research, American Real Estate Society, vol. 26(2), pages 161-206.
  27. Richard J. Barkham & Charles W. R. Ward, 1999. "Investor Sentiment and Noise Traders: Discount to Net Asset Value in Listed Property Companies in the U.K," Journal of Real Estate Research, American Real Estate Society, vol. 18(2), pages 291-312.
  28. Dahlquist, Magnus & Odegaard, Bernt Arne, 2018. "A Review of Norges Bank's Active Management of the Government Pension Fund Global," UiS Working Papers in Economics and Finance 2018/1, University of Stavanger.
  29. Youngha Cho & Soosung Hwang & Yong-ki Lee, 2014. "The Dynamics of Appraisal Smoothing," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 42(2), pages 497-529, June.
  30. K.W. Chau & Bryan D. MacGregor & Gregory M. Schwann, 2001. "Price discovery in the Hong Kong real estate market," Journal of Property Research, Taylor & Francis Journals, vol. 18(3), pages 187-216.
  31. Li, Yuexin & Ma, X. & Renneboog, Luc, 2021. "Pricing Art and the Art of Pricing : On Returns and Risk in Art Auction Markets," Other publications TiSEM 8d25ec25-78dc-4cdc-b054-f, Tilburg University, School of Economics and Management.
  32. Carsten Lausberg & Stephen Lee & Moritz Müller & Cay Oertel & Tobias Schultheiß, 2020. "Risk measures for direct real estate investments with non-normal or unknown return distributions," Zeitschrift für Immobilienökonomie (German Journal of Real Estate Research), Springer;Gesellschaft für Immobilienwirtschaftliche Forschung e. V., vol. 6(1), pages 3-27, April.
  33. Tanskanen, Antti J. & Niininen, Petri & Vatanen, Kari, 2010. "Risk-based classification of financial instruments in the Finnish statutory pension scheme TyEL," Bank of Finland Research Discussion Papers 9/2010, Bank of Finland.
  34. repec:zbw:bofrdp:2010_009 is not listed on IDEAS
  35. Ying Fan & Abdullah Yavas, 2023. "Price Dynamics in Public and Private Commercial Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 67(1), pages 150-190, July.
  36. M. Glawischnig & I. Seidl, 2013. "Portfolio optimization with serially correlated, skewed and fat tailed index returns," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 21(1), pages 153-176, January.
  37. Jinliang Li & Robert M. Mooradian & Shiawee X. Yang, 2009. "The Information Content of the NCREIF Index," Journal of Real Estate Research, American Real Estate Society, vol. 31(1), pages 93-116.
  38. Alan Gardner & George Matysiak, 2005. "Holding Periods and Investment Performance: Analysing UK Office Returns 1983-2003," Real Estate & Planning Working Papers rep-wp2005-31, Henley Business School, University of Reading.
  39. Ping Cheng & Alan J. Ziobrowski & Royce W. Caines & Brigette J. Ziobrowski, 1999. "Uncertainty and Foreign Real Estate Investment," Journal of Real Estate Research, American Real Estate Society, vol. 18(3), pages 463-480.
  40. Jean‐Christophe Delfim & Martin Hoesli, 2021. "Robust desmoothed real estate returns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 49(1), pages 75-105, March.
  41. Waggle, Doug & Johnson, Don T., 2009. "An analysis of the impact of timberland, farmland and commercial real estate in the asset allocation decisions of institutional investors," Review of Financial Economics, Elsevier, vol. 18(2), pages 90-96, April.
  42. Georges Gallais-Hamonno & Huyen Nguyen-Thi-Thanh, 2007. "The necessity to correct hedge fund returns: empirical evidence and correction method," Working Papers halshs-00184470, HAL.
  43. Martin Hoesli & Richard Malle, 2022. "Commercial real estate prices and COVID-19," Post-Print hal-03611776, HAL.
  44. Doug Waggle & Don T. Johnson, 2009. "An analysis of the impact of timberland, farmland and commercial real estate in the asset allocation decisions of institutional investors," Review of Financial Economics, John Wiley & Sons, vol. 18(2), pages 90-96, April.
  45. Rainer Masera, 2011. "Taking the moral hazard out of banking: the next fundamental step in financial reform," PSL Quarterly Review, Economia civile, vol. 64(257), pages 105-142.
  46. Jeff Fisher & David Geltner & Henry Pollakowski, 2007. "A Quarterly Transactions-based Index of Institutional Real Estate Investment Performance and Movements in Supply and Demand," The Journal of Real Estate Finance and Economics, Springer, vol. 34(1), pages 5-33, January.
  47. Childs, Paul D. & Ott, Steven H. & Riddiough, Timothy J., 1996. "The value of recourse and cross-default clauses in commercial mortgage contracting," Journal of Banking & Finance, Elsevier, vol. 20(3), pages 511-536, April.
  48. McKenzie, Michael & Satchell, Stephen & Wongwachara, Warapong, 2014. "Converting true returns into reported returns: A general theory of linear smoothing and anti-smoothing," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 215-229.
  49. Charles-Olivier Amédée-Manesme & Fabrice Barthélémy & Donald Keenan, 2015. "Cornish-Fisher Expansion for Commercial Real Estate Value at Risk," The Journal of Real Estate Finance and Economics, Springer, vol. 50(4), pages 439-464, May.
  50. Drobetz, Wolfgang & Schröder, Henning & Tegtmeier, Lars, 2020. "The role of catastrophe bonds in an international multi-asset portfolio: Diversifier, hedge, or safe haven?," Finance Research Letters, Elsevier, vol. 33(C).
  51. Yun W. Park & Doo Won Bang, 2013. "Valuation of Brokers over Real Estate Cycles: Korean Evidence," International Real Estate Review, Global Social Science Institute, vol. 16(2), pages 166-188.
  52. Masset, Philippe & Maurer, Frantz, 2021. "Mitigating downside risk of portfolio diversification: Wine versus other tangible assets," Economic Modelling, Elsevier, vol. 102(C).
  53. Stefano Fenoaltea, 2010. "The reconstruction of historical national accounts: the case of Italy," PSL Quarterly Review, Economia civile, vol. 63(252), pages 77-96.
  54. Hoevenaars, Roy P.M.M. & Molenaar, Roderick D.J. & Schotman, Peter C. & Steenkamp, Tom B.M., 2008. "Strategic asset allocation with liabilities: Beyond stocks and bonds," Journal of Economic Dynamics and Control, Elsevier, vol. 32(9), pages 2939-2970, September.
  55. Tanskanen, Antti J. & Niininen, Petri & Vatanen, Kari, 2010. "Risk-based classification of financial instruments in the Finnish statutory pension scheme TyEL," Research Discussion Papers 9/2010, Bank of Finland.
  56. Newton, David & Platanakis, Emmanouil & Stafylas, Dimitrios & Sutcliffe, Charles & Ye, Xiaoxia, 2021. "Hedge fund strategies, performance &diversification: A portfolio theory & stochastic discount factor approach," The British Accounting Review, Elsevier, vol. 53(5).
  57. Spaenjers, C., 2011. "Essays in alternative investments," Other publications TiSEM 8c51041f-6a63-451f-b7f4-8, Tilburg University, School of Economics and Management.
  58. Baroni, Michel & Barthélémy, Fabrice & Mokrane, Mahdi, 2004. "The Paris Residential Market: Driving Factors and Market Behaviour 1973-2001," ESSEC Working Papers DR 04006, ESSEC Research Center, ESSEC Business School.
  59. Charles-Olivier Amédée-Manesme & Fabrice Barthélémy & Jean-Luc Prigent & Donald Keenan & Mahdi Mokrane, 2017. "Modified Sharpe Ratios in Real Estate Performance Measurement: Beyond the Standard Cornish Fisher Expansion," THEMA Working Papers 2017-20, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  60. Wolfgang Breuer & Claudia Kreuz, 2011. "Real Estate and Real Estate Finance as a Research Field - An International Overview," ERES eres2011_126, European Real Estate Society (ERES).
  61. Rainer Masera, 2010. "Reforming financial systems after the crisis: a comparison of EU and USA," PSL Quarterly Review, Economia civile, vol. 63(255), pages 299-362.
  62. Devaney, Steven & Holtemöller, Oliver & Schulz, Rainer, 2012. "Efficiency in the UK Commercial Property Market: A Long-run Perspective," IWH Discussion Papers 15/2012, Halle Institute for Economic Research (IWH).
  63. Martin Hoesli & Richard Malle, 2021. "Commercial Real Estate Prices and Covid-19," Working Papers hal-03186131, HAL.
  64. Arpit Gupta & Vrinda Mittal & Stijn Van Nieuwerburgh, 2022. "Work From Home and the Office Real Estate Apocalypse," NBER Working Papers 30526, National Bureau of Economic Research, Inc.
  65. Rosane Hungria-Gunnelin, 2013. "Impact of Number of Bidders on Sale Price of Auctioned Condominium Apartments in Stockholm," International Real Estate Review, Global Social Science Institute, vol. 16(3), pages 274-295.
  66. Muhammad Jufri Marzuki & Graeme Newell, 2020. "A global investment opportunity in non-listed infrastructure for institutional investors," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 39(3), pages 239-255, May.
  67. Pin-te Lin & Franz Fuerst, 2014. "The integration of direct real estate and stock markets in Asia," Applied Economics, Taylor & Francis Journals, vol. 46(12), pages 1323-1334, April.
  68. Maurer, Raimond H., 2003. "Institutional investors in Germany: Insurance companies and investment funds," CFS Working Paper Series 2003/14, Center for Financial Studies (CFS).
  69. Martin Hoesli & Graeme Newell & Muhammad Jufri Bin Marzuki & Rose Neng Lai, 2022. "The Performance and Diversification Potential of Non-Listed Value-Add Real Estate Funds in Japan," JRFM, MDPI, vol. 15(5), pages 1-16, April.
  70. Fuente, Iván de la & Navarro, Eliseo & Serna, Gregorio, 2021. "Estimating regulatory capital requirements for reverse mortgages. An international comparison," International Review of Economics & Finance, Elsevier, vol. 74(C), pages 239-252.
  71. Jacques Pezier & Anthony White, 2006. "The Relative Merits of Investable Hedge Fund Indices and of Funds of Hedge Funds in Optimal Passive Portfolios," ICMA Centre Discussion Papers in Finance icma-dp2006-10, Henley Business School, University of Reading.
  72. Eduardo Fernandes Cazassa & Odilon Costa, 2017. "Real Estate Indices: the good and the bad," LARES lares_2017_paper_65, Latin American Real Estate Society (LARES).
  73. Graeme Newell, 2021. "Future research opportunities for Asian real estate," International Journal of Urban Sciences, Taylor & Francis Journals, vol. 25(2), pages 272-290, April.
  74. Pinto, Inês, 2013. "Asset value management in the Portuguese real estate sector," Journal of International Accounting, Auditing and Taxation, Elsevier, vol. 22(2), pages 86-97.
  75. Marc Francke & Alex Van De Minne, 2022. "Daily appraisal of commercial real estate a new mixed frequency approach," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 50(5), pages 1257-1281, September.
  76. Shaun A. Bond & Soosung Hwang & Gianluca Marcato, 2006. "An Analysis of Commercial Real Estate Returns: Is there a Smoothing Puzzle?," Real Estate & Planning Working Papers rep-wp2006-17, Henley Business School, University of Reading.
  77. Andreas Gohs, 2017. "Correction Procedures for Appraisal-Based Real Estate Indices," ERES eres2017_274, European Real Estate Society (ERES).
  78. Deng, Yongheng & McMillen, Daniel P. & Sing, Tien Foo, 2014. "Matching indices for thinly-traded commercial real estate in Singapore," Regional Science and Urban Economics, Elsevier, vol. 47(C), pages 86-98.
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