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| Estimating Market Values from Appraised
Values without Assuming an Efficient Market Author: David M. Geltner Start Page: 325 Abstract: This paper represents
an approach to recovering the underlying market value returns from observable
appraisal-based index returns, without presupposing or constraining the market value
returns to be unpredictable or uncorrelated across time. A structural/behavioral model is
developed relating the publicly reported index returns to the underlying market returns.
The procedure presented here explicitly corrects for appraisal smoothing at the
disaggregate level, as well as for the aggregate index construction effects of temporal
aggregation and seasonality of reappraisals. This procedure is applied to the
Russell-NCREIF and Evaluation Associates Index returns to generate estimated series of
market values and market returns for unsecuritized institutional-grade commercial
properties in the United States. |
