Premium
Robust desmoothed real estate returns
Author(s) -
Delfim JeanChristophe,
Hoesli Martin
Publication year - 2020
Publication title -
real estate economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.064
H-Index - 61
eISSN - 1540-6229
pISSN - 1080-8620
DOI - 10.1111/1540-6229.12313
Subject(s) - econometrics , real estate , economics , database transaction , transaction cost , smoothing , series (stratigraphy) , investment (military) , index (typography) , computer science , filter (signal processing) , transaction data , actuarial science , financial economics , microeconomics , finance , paleontology , politics , world wide web , political science , law , computer vision , biology , programming language
This research starts from the observation that common desmoothing models are likely to generate some extreme returns that will distort risk measurement and hence can lead to investment decisions that are suboptimal relative to those that would be made if a transaction‐based index were available. Thus, we propose to improve the desmoothing models by incorporating a robust filter into the procedure. We report that in addition to properly treating for smoothing, the method prevents the occurrence of extreme values. As shown with U.S. data, our method leads to desmoothed series whose characteristics are akin to those of transaction‐based indices.