Unsmoothing Commercial Property Returns: A Revision to Fisher-Geltner-Webb's Unsmoothing Methodology

Hoon Cho*, Yuichiro Kawaguchi, James D. Shilling

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

35 Citations (Scopus)


Fisher, Geltner, and Webb (1993), in a highly influential paper, develop a procedure to recover the underlying market values from a smoothed valuation-based commercial property return index, without assuming that the underlying property market is informationally efficient. Many papers since then have used the Fisher-Geltner-Webb unsmoothing technique to desmooth commercial property returns. We show, however, that there is an inherent bias in Fisher-Geltner-Webb unsmoothing technique and propose a simple extension of their model to correct for this bias. We then compare the performance of our improved specification to that of the Fisher-Geltner-Webb model.

Original languageEnglish
Pages (from-to)393-405
Number of pages13
JournalJournal of Real Estate Finance and Economics
Issue number3
Publication statusPublished - 2003 Nov 1
Externally publishedYes


  • Asset pricing
  • Expectations
  • Real estate markets

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Economics and Econometrics
  • Urban Studies


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