We investigate the dynamics of smoothing in the NCREIF index return using time-varying asset pricing models. We find that smoothing time-varies significantly. From the inception of the NCREIF index in 1978 until the early 1990s, there was little evidence of smoothing. Smoothing has increased...

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...