Remember Me
Or use your Academic/Social account:


Or use your Academic/Social account:


You have just completed your registration at OpenAire.

Before you can login to the site, you will need to activate your account. An e-mail will be sent to you with the proper instructions.


Please note that this site is currently undergoing Beta testing.
Any new content you create is not guaranteed to be present to the final version of the site upon release.

Thank you for your patience,
OpenAire Dev Team.

Close This Message


Verify Password:
Verify E-mail:
*All Fields Are Required.
Please Verify You Are Human:
fbtwitterlinkedinvimeoflicker grey 14rssslideshare1
Devaney, Steven (2013)
Publisher: University of Reading
Languages: English
Types: Book
The performance of real estate investment markets is difficult to monitor because the constituent assets are heterogeneous, are traded infrequently and do not trade through a central exchange in which prices can be observed. To address this, appraisal based indices have been developed that use the records of owners for whom buildings are regularly re-valued. These indices provide a practical solution to the measurement problem, but have been criticised for understating volatility and not capturing market turning points in a timely manner. This paper evaluates alternative ‘Transaction Linked Indices’ that are estimated using an extension of the hedonic method for index construction and with Investment Property Databank data. The two types of indices are compared over Q4 2001 to Q4 2012 in order to examine whether movements in these indices are consistent. The Transaction Linked Indices show stronger growth and sharper declines than their appraisal based counterparts over the course of the cycle in different European markets and they are typically two to four times more volatile. However, they have some limitations; for instance, only country level indicators can be published in many cases owing to low trading volumes in the period studied.
  • The results below are discovered through our pilot algorithms. Let us know how we are doing!

    • Clapp, J. M. (1990), “A methodology for constructing vacant land price indices”, Journal of the American Real Estate and Urban Economics Association, Vol. 18 No. 3, pp. 274-293.
    • Clapp, J. M. and Giaccotto, C. (1992), “Estimating Price Indices for Residential Property: A Comparison of Repeat Sales and Assessed Value Methods”, Journal of the American Statistical Association, Vol. 87 No. 418, pp. 300-306.
    • Clayton, J., Geltner, D. and Hamilton, S. W. (2001), “Smoothing in Commercial Property Valuations: Evidence from Individual Appraisals”, Real Estate Economics, Vol. 29 No. 3, pp. 337-360.
    • Crosby, N., Devaney, S. and Law, V. (2011), “Benchmarking and valuation issues in measuring depreciation for European office markets”, Journal of European Real Estate Research, Vol. 4 No. 1, pp. 7-28.
    • Crosby, N. and McAllister, P. (2004), 'Deconstructing the Transaction Process: An Analysis of Fund Transaction Data', Working Paper Two, Liquidity in Commercial Property Markets, Investment Property Forum.
    • Devaney, S. and Martinez Diaz, R. (2011), “Transaction based indices for the UK commercial real estate market: an exploration using IPD transaction data”, Journal of Property Research, Vol. 28 No. 4, pp. 269-289.
    • Dombrow, J., Knight, J. R. and Sirmans, C. F. (1997), “Aggregation Bias in Repeat-Sales Indices”, Journal of Real Estate Finance and Economics, Vol. 14 No. 1, pp. 75-88.
    • Fisher, J., Gatzlaff, D., Geltner, D. and Haurin, D. (2003), “Controlling for the Impact of Variable Liquidity in Commercial Real Estate Price Indices”, Real Estate Economics, Vol. 31 No. 2, pp. 269- 303.
    • Fisher, J., Geltner, D. and Pollakowski, H. (2007), “A Quarterly Transactions-based Index of Institutional Real Estate Investment Performance and Movements in Supply and Demand”, Journal of Real Estate Finance and Economics, Vol. 34 No. 1, pp. 5-33.
    • Gatzlaff, D. H. and Haurin, D. R. (1998), “Sample Selection and Biases in Local House Value Indices”, Journal of Urban Economics, Vol. 43 No. 2, pp. 199-222.
    • Gatzlaff, D. and Holmes, C. (2013), “Estimating Transaction-Based Price Indices of Local Commercial Real Estate Markets Using Public Assessment Data”, Journal of Real Estate Finance and Economics, Vol. 46 No. 2, pp. 260-281.
    • Geltner, D. and Goetzmann, W. (2000), “Two Decades of Commercial Property Returns: A RepeatedMeasures Regression-Based Version of the NCREIF Index”, Journal of Real Estate Finance and Economics, Vol. 21 No. 1, pp. 5-21.
    • Geltner, D., MacGregor, B. D. and Schwann, G. M. (2003), “Appraisal Smoothing and Price Discovery in Real Estate Markets”, Urban Studies, Vol. 40 No. 5/6, pp. 1047-1064.
    • Heckman, J. J. (1979), “Sample Selection Bias as a Specification Error”, Econometrica, Vol. 47 No. 1, pp. 153-161.
    • Hoesli, M. and Oikarinen, E. (2012), “Are REITs real estate? Evidence from international sector level data”, Journal of International Money and Finance, Vol. 31 No. 7, pp. 1823-1850.
    • Hwang, M. and Quigley, J. M. (2004), “Selectivity, Quality Adjustment and Mean Reversion in the Measurement of House Values”, Journal of Real Estate Finance and Economics, Vol. 28 No. 2/3, pp. 161-178.
    • Miller, D. M. (1984), “Reducing Transformation Bias in Curve Fitting”, The American Statistician, Vol. 38 No. 2, pp. 124-126.
    • Newell, G., Adair, A. and McGreal, S. (2010), “Robustness of capital flows into the European commercial property markets during the global financial crisis”, Journal of European Real Estate Research, Vol. 3 No. 3, pp. 182-202.
    • Oikarinen, E., Hoesli, M. and Serrano, C. (2013), “Do public real estate returns really lead private returns?”, Proceedings of the 20th Annual Conference of the European Real Estate Society, Vienna, pp. 189-218.
    • Scofield, D. (2013), “Time to completion liquidity in UK commercial real estate investment: 2000- 2008”, Journal of European Real Estate Research, Vol. 6 No. 1, pp. 34-47.
    • Shiller, R. J. (1993), Macro Markets: Creating Institutions for Managing Society's Largest Economic Risks, Clarendon Lectures in Economics, Oxford University Press, Oxford.
    • Figure 2: Comparison of capital returns series for non-Eurozone markets: 2002-2012
  • No related research data.
  • No similar publications.

Share - Bookmark

Cite this article