Unsmoothing Commercial Property Returns: A Revision to Fisher-Geltner-Webb's Unsmoothing Methodology

Posted: 7 Jul 2003

See all articles by Hoon Cho

Hoon Cho

Wisconsin School of Business

Yuichiro Kawaguchi

Meikai University - Faculty of Real Estate Science

James D. Shilling

DePaul University; National Bureau of Economic Research (NBER)

Abstract

Fisher, Geltner, and Webb (1993), in a highly influential paper, develop a procedure to recover the underyling market values from a smoothed valuation-based commercial property return index, without assuming that the underlying property market is informationally efficient. Many papers since then have used the Fisher-Geltner-Webb unsmoothing technique to desmooth commercial property returns. We show, however, that there is an inherent bias in Fisher-Geltner-Webb unsmoothing technique and propose a simple extension of their model to correct for this bias. We then compare the performance of our improved specification to that of the Fisher-Geltner-Webb model.

Keywords: Asset Pricing, Real Estate Markets, and Expectations

Suggested Citation

Cho, Hoon and Kawaguchi, Yuichiro and Shilling, James D., Unsmoothing Commercial Property Returns: A Revision to Fisher-Geltner-Webb's Unsmoothing Methodology. Available at SSRN: https://ssrn.com/abstract=410301

Hoon Cho

Wisconsin School of Business ( email )

975 University Avenue
Madison, WI 53706
United States

Yuichiro Kawaguchi

Meikai University - Faculty of Real Estate Science ( email )

8 Akemi, Urayasu-shi
Chiba 279-8550
Japan

James D. Shilling (Contact Author)

DePaul University ( email )

1 East Jackson Blvd.
Chicago, IL 60604
United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

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