Temporal Aggregation in Real Estate Return Indices

摘要: Temporal aggregation is defined as the use of spot valuations properties occuring over an interval time to impute value a property or real estate index single point in time. may characterize not only appraisal-based indices but also based directly on transaction prices, such National Real Estate Index (NREI) and regression-based hedonic repeat-sales indices. This paper analyzes effect temporal smoothing series second moments resulting return index. Assuming true returns are uncorrelated, aggregation-induced will cause empirically observed understate own-variance by one-third beta one-half. amount bias can have major implications for share optimal portfolio. Thus, empirical-based investment analysis could be led astray even if “transaction-based” rather than “appraisal-based.”