Two Decades of Commercial Property Returns: A Repeated-Measures Regression-Based Version of the NCREIF Index

By David M. Geltner, W. Goetzmann. 2000

112 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/d80ecdb125f6cbc39e07b03cd8e243921abd32b3

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In Economics and Econometrics

Citations in the corpus

Illiquidity and Pricing Biases in the Real Estate Market (2007, unknown): “…while the returns of equal-weighted portfolios are arithmetic averages of cross-sectional individual asset returns (Considered in Shiller (1991), Geltner and Goetzmann (2000), and Goetzman and Peng (2002)); and (4) aggregation bias, caused either by spatial aggregation bias (see Thomas and…”
A Quarterly Transactions-based Index of Institutional Real Estate Investment Performance and Movements in Supply and Demand (2007, unknown): “4 See for example: Brown (1985), Blundell & Ward (1987), Quan & Quigley (1989, 1991); Geltner (1991); Giacotto & Clapp (1992); Geltner(1993); Fisher, Geltner & Webb (1994); Lai & Wang (1998); Fisher & Geltner (2000), Fu (2003).”
The Time-Varying Nature of the Link between REIT, Real Estate and Financial Asset Returns (2001, methodology): “To circumvent this problem, Geltner and Goetzmann (2000) devise what they call a ''repeatedmeasures regression'' (RMR), similar to the repeatsales methodology that is widely used in the construction of house price indices, that estimates quarterly returns using only those properties that are…”
Appraisal Smoothing and Price Discovery in Real Estate Markets (2003, methodology): “Geltner and Goetzmann (2000) develop a methodology for deriving an arithmetic average total return index based on the repeat-sale regression model, which is now being used by NCREIF to produce a version of their index that avoids the ‘stale appraisal’ problem.”