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Paper eres2000_076:
TEMPORAL AND SPATIAL VARIATIONS IN MARKET LIQUIDITY, APPRAISAL SMOOTHING AND PRICE DISCOVERY IN PRIVATE AND PUBLIC REAL ESTATE MARKETS

id eres2000_076
authors Macgregor, Bryan D.; Gregory M. Schwann
year 2000
title TEMPORAL AND SPATIAL VARIATIONS IN MARKET LIQUIDITY, APPRAISAL SMOOTHING AND PRICE DISCOVERY IN PRIVATE AND PUBLIC REAL ESTATE MARKETS
source 7th European Real Estate Society Conference (14-16 June 2000) Bordeaux, France
summary This paper considers the processes of appraisal smoothing within the direct real estate market and of price discovery between the indirect and direct real estate markets. Appraisal smoothing involves the optimum combination of past and current information, the latter observed with an error. Price discovery between the markets requires that information is incorporated into price more quickly in one market than the other. We hypothesise that both appraisal smoothing and price discovery to vary according to market liquidity, both temporally and in cross section. A model of the combined processes is constructed and estimated separately for the U. S., U. K., Singapore and Hong Kong. A Kalman filter is used to extract and update market price and fundamental price series from the observed appraisal series. Liquidity is proxied temporally by price change.
series ERES:conference
email b.d.macgregor@abdn.ac.uk
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ratings
session C1 _ Property Market, Fundamentals and Pricing
last changed 2009/08/07 17:25
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