In this paper we investigate the commonly used auto-regressive filter method of adjusting appraisal-based real estate returns to correct for the perceived biases induced in the appraisal process. Many papers have been written on appraisal smoothing but remarkably few have considered the...

Efficient markets should guarantee the existence of zero spreads for total return swaps. However, real estate markets have recorded values that are significantly different from zero in both directions. Possible explanations might suggest non-rational behaviour by inexperienced market players or...

This article studies the ability of momentum strategies to generate extra-profits in private real estate markets. We test a variety of frequencies of portfolio re-weighting and periods over which winner and loser segments are identified. Finally, since real estate returns tend to be highly...