Abstracts for Vol.
All articles listed here are available for download in portable document format.
This paper examines the magnitude of random disaggregate appraisal valuation error in institutional-grade commercial property. Unlike previous transactions-based studies of appraisal error, we use a much larger database that is not restricted to sold properties, and we employ a methodology that focuses on appraisal error rather than the difference between transaction price and previous appraised value. The test uses the Skewness Preference CAPM, which includes the impact of the third moment on returns. The findings are that systematic risk impacts return in the predicted manner. Also, the problem of multicollinearity noted in earlier tests of the model does not occur herein.