Temporal Aggregation in Real Estate Return Indices
Temporal Aggregation in Real Estate Return Indices
复制标题
房地产回报指数的时间聚合
DOI：
10.1111/1540-6229.00605
复制
发表时间：
1993
影响因子：
2.2
通讯作者：
D. Geltner
中科院分区：
文献类型：
--
作者：
D. Geltner
时间聚合被定义为使用一段时间间隔内发生的财产的现货估值来估算单个时间点的财产或房地产价值指数的现货价值。时间聚合不仅可以表征基于评估的指数，还可以表征直接基于交易价格的指数，例如国家房地产指数（NREI）和基于回归的指数，例如享乐指数或重复销售指数。本文分析了时间聚合对所得房地产回报指数中时间序列二阶矩平滑的影响。假设真实的现货回报是不相关的，时间聚合引起的平滑将导致凭经验观察到的房地产指数将自身方差低估三分之一，将贝塔低估二分之一。第二时刻的这种偏差会对最优投资组合中的房地产份额产生重大影响。因此，即使房地产回报指数是“基于交易”而不是“基于评估”，基于经验的投资分析也可能因平滑而误入歧途。
Temporal aggregation is defined as the use of spot valuations of properties occuring over an interval of time to impute the spot value of a property or of a real estate value index as of a single point in time. Temporal aggregation may characterize not only appraisal-based indices but also indices based directly on transaction prices, such as the National Real Estate Index (NREI) and regression-based indices such as hedonic or repeat-sales indices. This paper analyzes the effect of temporal aggregation on the smoothing of the time series second moments in the resulting real estate return index. Assuming true spot returns are uncorrelated, temporal aggregation-induced smoothing will cause the empirically observed real estate index to understate the own-variance by one-third and the beta by one-half. This amount of bias in the second moments can have major implications for the real estate share in an optimal portfolio. Thus, empirical-based investment analysis could be led astray by smoothing even if the real estate return index is “transaction-based” rather than “appraisal-based.”