Robust desmoothed real estate returns

Jean-Christophe Delfim* (Corresponding Author), Martin E. Hoesli

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

6 Citations (Scopus)
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This research starts from the observation that common desmoothing models are likely to generate some extreme returns that will distort risk measurement and hence can lead to investment decisions that are suboptimal relative to those that would be made if a transaction-based index were available. Thus, we propose to improve the desmoothing models by incorporating a robust filter into the procedure. We report that in addition to properly treating for smoothing, the method prevents the occurrence of extreme values. As shown with U.S. data, our method leads to desmoothed series whose characteristics are akin to those of transaction-based indices.
Original languageEnglish
Pages (from-to)75-105
Number of pages31
JournalReal Estate Economics
Issue number1
Early online date25 May 2020
Publication statusPublished - 19 Feb 2021

Bibliographical note

We thank Shaun Bond, Marc Francke, David Geltner, and Jeffrey Fisher for inspiring thoughts and insights. We also extend our gratitude to Itzhak Ben-David, our discussant at the 2018 Real Estate Finance and Investment Symposium in Gainesville, Florida, and participants at this event for their useful comments.


  • Desmoothing models
  • robust filter
  • appraisal-based index
  • private real estate
  • unlevered REITs
  • desmoothing models


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