Estimating Real Estate Price Movements for High Frequency Tradable Indexes in a Scarce Data Environment
Indexes of commercial property prices face much scarcer transactions data than housing indexes, yet the advent of tradable derivatives on commercial property places a premium on both high frequency and accuracy of such indexes. The dilemma is that with scarce data a low-frequency return index (su...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Article |
| Language: | en_US |
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Springer Science + Business Media B.V.
2011
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| Online Access: | http://hdl.handle.net/1721.1/64714 https://orcid.org/0000-0003-2865-9475 https://orcid.org/0000-0002-1024-7555 |
| _version_ | 1826213097888546816 |
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| author | Bokhari, Sheharyar Geltner, David M. |
| author2 | Massachusetts Institute of Technology. Department of Urban Studies and Planning |
| author_facet | Massachusetts Institute of Technology. Department of Urban Studies and Planning Bokhari, Sheharyar Geltner, David M. |
| author_sort | Bokhari, Sheharyar |
| collection | MIT |
| description | Indexes of commercial property prices face much scarcer transactions data
than housing indexes, yet the advent of tradable derivatives on commercial property
places a premium on both high frequency and accuracy of such indexes. The
dilemma is that with scarce data a low-frequency return index (such as annual) is
necessary to accumulate enough sales data in each period. This paper presents an
approach to address this problem using a two-stage frequency conversion procedure,
by first estimating lower-frequency indexes staggered in time, and then applying a
generalized inverse estimator to convert from lower to higher frequency return
series. The two-stage procedure can improve the accuracy of high-frequency indexes
in scarce data environments. In this paper the method is demonstrated and analyzed
by application to empirical commercial property repeat-sales data. |
| first_indexed | 2024-09-23T15:43:18Z |
| format | Article |
| id | mit-1721.1/64714 |
| institution | Massachusetts Institute of Technology |
| language | en_US |
| last_indexed | 2024-09-23T15:43:18Z |
| publishDate | 2011 |
| publisher | Springer Science + Business Media B.V. |
| record_format | dspace |
| spelling | mit-1721.1/647142022-10-02T03:37:46Z Estimating Real Estate Price Movements for High Frequency Tradable Indexes in a Scarce Data Environment Bokhari, Sheharyar Geltner, David M. Massachusetts Institute of Technology. Department of Urban Studies and Planning Geltner, David M. Geltner, David M. Bokhari, Sheharyar Indexes of commercial property prices face much scarcer transactions data than housing indexes, yet the advent of tradable derivatives on commercial property places a premium on both high frequency and accuracy of such indexes. The dilemma is that with scarce data a low-frequency return index (such as annual) is necessary to accumulate enough sales data in each period. This paper presents an approach to address this problem using a two-stage frequency conversion procedure, by first estimating lower-frequency indexes staggered in time, and then applying a generalized inverse estimator to convert from lower to higher frequency return series. The two-stage procedure can improve the accuracy of high-frequency indexes in scarce data environments. In this paper the method is demonstrated and analyzed by application to empirical commercial property repeat-sales data. Real Capital Analytics (Firm) Real Estate Analysts Limited 2011-06-29T21:11:09Z 2011-06-29T21:11:09Z 2010-07 2010-06 Article http://purl.org/eprint/type/JournalArticle 0895-5638 1573-045X http://hdl.handle.net/1721.1/64714 Bokhari, Sheharyar and David Geltner. “Estimating Real Estate Price Movements for High Frequency Tradable Indexes in a Scarce Data Environment.” The Journal of Real Estate Finance and Economics (2010) : 1-22. https://orcid.org/0000-0003-2865-9475 https://orcid.org/0000-0002-1024-7555 en_US http://www.springerlink.com/content/uxl087168u781086/ Journal of Real Estate Finance and Economics Creative Commons Attribution-Noncommercial-Share Alike 3.0 http://creativecommons.org/licenses/by-nc-sa/3.0/ application/pdf Springer Science + Business Media B.V. Prof. Geltner via Peter Cohn |
| spellingShingle | Bokhari, Sheharyar Geltner, David M. Estimating Real Estate Price Movements for High Frequency Tradable Indexes in a Scarce Data Environment |
| title | Estimating Real Estate Price Movements for High Frequency Tradable Indexes in a Scarce Data Environment |
| title_full | Estimating Real Estate Price Movements for High Frequency Tradable Indexes in a Scarce Data Environment |
| title_fullStr | Estimating Real Estate Price Movements for High Frequency Tradable Indexes in a Scarce Data Environment |
| title_full_unstemmed | Estimating Real Estate Price Movements for High Frequency Tradable Indexes in a Scarce Data Environment |
| title_short | Estimating Real Estate Price Movements for High Frequency Tradable Indexes in a Scarce Data Environment |
| title_sort | estimating real estate price movements for high frequency tradable indexes in a scarce data environment |
| url | http://hdl.handle.net/1721.1/64714 https://orcid.org/0000-0003-2865-9475 https://orcid.org/0000-0002-1024-7555 |
| work_keys_str_mv | AT bokharisheharyar estimatingrealestatepricemovementsforhighfrequencytradableindexesinascarcedataenvironment AT geltnerdavidm estimatingrealestatepricemovementsforhighfrequencytradableindexesinascarcedataenvironment |