Corpus ID: 198954458

Investors ’ Behaviour and Price Discovery : A Tale from Smoothing Dynamics of Commercial Real Estate Returns

  title={Investors ’ Behaviour and Price Discovery : A Tale from Smoothing Dynamics of Commercial Real Estate Returns},
  author={Gianluca Marcato and Vianey John Mushi},
Several sources of appraisal smoothing have been studied in the literature trying to explain the high level of cyclicality in asset pricing for alternative asset classes and particularly real estate and hedge funds. We focus on the role of mean shifts and time varying volatility to show that existing smoothing models overstate the magnitude of the smoothing parameter. Our analysis reveals that the mean of the generating mechanism evolves over time, and shows that when we embed inter-temporal… Expand

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