Real Estate's Role in the Mixed Asset Portfolio: A Re-Examination - Private Commercial Real Estate Returns and the Valuation Process (April 2012)
Working paper 2 of 4, alongside a summary report. Research shows that real estate returns will be influenced by time varying market and valuer behaviour, therefore standard desmoothing techniques do not capture underlying market dynamics. Equity market returns and interest rates have a time varying influence on real estate returns and valuation smoothing is strongest in weak economic states. By implication, the time varying relationships established lead to time varying real estate diversification benefits.