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Paper eres2005_252:
RMR Real Estate Indices in Markets with Thin Information

id eres2005_252
authors Marcato, Gianluca
year 2005
title RMR Real Estate Indices in Markets with Thin Information
source Book of Abstracts: 2005 European Real Estate Society conference in association with the International Real Estate Society
summary A Valuation-Based Index (e.g. NCREIF and IPD) requires a set of information that is normally difficult to be collected the main issue being the availability of annual valuations. This issue is even worse when we want to construct historical indices for markets with thin information. In this paper we identify a subset of information that is sufficient to construct a historical index reflecting the same characteristics a VBI would show. We use initial purchase prices, last valuations and annual capital expenditures/receipts, by applying three main repeated-measures regression (i.e. RMR) methods coming from the literature and a simple backward looking model. We then compare each one of the newly constructed series with both actual VBIs and unsmoothed versions. Not all RMR methods show same statistics and we find that a backward looking methodology (i.e. BW) is to be preferred to other models. Our BW index tends to lead the actual VBI and the two series are highly dependent with dependency measures increasing if the BW index is lagged by one year.
series ERES:conference
type normal paper
discussion No discussions. Post discussion ...
ratings
session Session E6
last changed 2008/11/01 09:47
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