{ "indexed": { "date-parts": [ [ 2026, 10, 6 ] ], "date-time": "2026-10-06T05:16:59Z", "timestamp": 1791263819878, "version": "4.1.0" }, "reference-count": 31, "publisher": "Wiley", "issue": "2", "license": [ { "start": { "date-parts": [ [ 2003, 5, 15 ] ], "date-time": "2003-05-15T00:00:00Z", "timestamp": 1052956800000 }, "content-version": "vor", "delay-in-days": 0, "URL": "http://onlinelibrary.wiley.com/termsAndConditions#vor" } ], "content-domain": { "domain": [], "crossmark-restriction": false }, "short-container-title": [ "Real Estate Economics" ], "published-print": { "date-parts": [ [ 2003, 6 ] ] }, "abstract": "Liquidity in private asset markets is notoriously variable over time. Therefore, indices of changes in market value that are based on asset transaction prices will systematically reflect intertemporal differences in the ease of selling a property. We define and develop a concept of \u201cconstant\u2010liquidity value\u201d in the context of a model that is characterized by pro\u2010cyclical volume of trading. We then present an econometric model that allows for estimation of both a standard transaction\u2010based price index and a constant\u2010liquidity index. Our application to the NCREIF database reveals that, in the case of institutional commercial real estate investment, constant\u2010liquidity values tend to lead transaction\u2010based and appraisal\u2010based indices in time, and also to display greater volatility and cycle amplitude. The differences can be significant for strategic investment policy viewed from a mean\u2010variance portfolio optimization perspective.", "DOI": "10.1111/1540-6229.00066", "type": "journal-article", "created": { "date-parts": [ [ 2003, 5, 15 ] ], "date-time": "2003-05-15T17:45:06Z", "timestamp": 1053020706000 }, "page": "269-303", "source": "Crossref", "is-referenced-by-count": 219, "title": [ "Controlling for the Impact of Variable Liquidity in Commercial Real Estate Price Indices" ], "prefix": "10.1111", "volume": "31", "author": [ { "given": "Jeffrey", "family": "Fisher", "sequence": "first", "affiliation": [], "role": [ { "vocabulary": "crossref", "role": "author" } ] }, { "given": "Dean", "family": "Gatzlaff", "sequence": "additional", "affiliation": [], "role": [ { "vocabulary": "crossref", "role": "author" } ] }, { "given": "David", "family": "Geltner", "sequence": "additional", "affiliation": [], "role": [ { "vocabulary": "crossref", "role": "author" } ] }, { "given": "Donald", "family": "Haurin", "sequence": "additional", "affiliation": [], "role": [ { "vocabulary": "crossref", "role": "author" } ] } ], "member": "311", "published-online": { "date-parts": [ [ 2003, 5, 15 ] ] }, "reference": [ { "key": "e_1_2_1_2_1", "doi-asserted-by": "publisher", "DOI": "10.1080/01621459.1963.10480679" }, { "key": "e_1_2_1_3_1", "volume-title": "Research in Real Estate", "author": "Bryan T.", "year": "1982" }, { "key": "e_1_2_1_4_1", "first-page": "45", "article-title": "Prices of Single Family Homes since 1970: New Indexes for Four Cities", "author": "Case K.", "year": "1987", "journal-title": "New England Economic Review" }, { "key": "e_1_2_1_5_1", "doi-asserted-by": "publisher", "DOI": "10.1111/1080-8620.t01-1-00010" }, { "key": "e_1_2_1_6_1", "doi-asserted-by": "publisher", "DOI": "10.1111/1540-6229.00045" }, { "key": "e_1_2_1_7_1", "doi-asserted-by": "publisher", "DOI": "10.1080/01621459.1992.10475209" }, { "key": "e_1_2_1_8_1", "doi-asserted-by": "publisher", "DOI": "10.1111/1080-8620.00014" }, { "key": "e_1_2_1_9_1", "doi-asserted-by": "publisher", "DOI": "10.1111/1540-6229.00749" }, { "issue": "1", "key": "e_1_2_1_10_1", "first-page": "7", "article-title": "De\u2010Lagging the NCREIF Index: Transaction Prices and Reverse\u2010Engineering", "volume": "17", "author": "Fisher J.", "year": "2000", "journal-title": "Real Estate Finance" }, { "key": "e_1_2_1_11_1", "doi-asserted-by": "publisher", "DOI": "10.1007/BF01099972" }, { "key": "e_1_2_1_12_1", "unstructured": "Fisher J.andS.Ong.2002.Optimal Trade\u2010off Between Random Error and Temporal Bias in Selection of Appraisal Comps. Working paper. Indiana University : Bloomington IN ." }, { "key": "e_1_2_1_13_1", "doi-asserted-by": "publisher", "DOI": "10.1023/A:1007763816289" }, { "key": "e_1_2_1_14_1", "doi-asserted-by": "publisher", "DOI": "10.1006/juec.1997.2045" }, { "key": "e_1_2_1_15_1", "doi-asserted-by": "publisher", "DOI": "10.1108/14635789710189191" }, { "key": "e_1_2_1_16_1", "doi-asserted-by": "publisher", "DOI": "10.1007/BF00153997" }, { "key": "e_1_2_1_17_1", "doi-asserted-by": "publisher", "DOI": "10.1016/S0304-405X(99)00052-5" }, { "key": "e_1_2_1_18_1", "volume-title": "Economic Analysis", "author": "Greene W.", "year": "1999" }, { "key": "e_1_2_1_19_1", "doi-asserted-by": "publisher", "DOI": "10.2307/1912352" }, { "key": "e_1_2_1_20_1", "volume-title": "Distributions in Statistics: Continuous Multivariate Distributions", "author": "Johnson N.", "year": "1972" }, { "issue": "1", "key": "e_1_2_1_21_1", "doi-asserted-by": "crossref", "first-page": "71", "DOI": "10.1080/10835547.1999.12089567", "article-title": "Price Indexes for Commercial and Office Properties: An Application of the Assessed Value Method", "volume": "5", "author": "Judd G.D.", "year": "1999", "journal-title": "Journal of Real Estate Portfolio Management" }, { "key": "e_1_2_1_22_1", "doi-asserted-by": "publisher", "DOI": "10.1111/1540-6229.00781" }, { "key": "e_1_2_1_23_1", "doi-asserted-by": "publisher", "DOI": "10.1016/S0304-405X(96)00891-4" }, { "key": "e_1_2_1_24_1", "volume-title": "Limited\u2010Dependent and Qualitative Variables in Econometrics", "author": "Maddala G.S.", "year": "1985" }, { "key": "e_1_2_1_25_1", "doi-asserted-by": "publisher", "DOI": "10.1023/A:1007861303058" }, { "key": "e_1_2_1_26_1", "doi-asserted-by": "publisher", "DOI": "10.1111/1080-8620.00003" }, { "key": "e_1_2_1_27_1", "doi-asserted-by": "publisher", "DOI": "10.1111/1540-6229.00487" }, { "key": "e_1_2_1_28_1", "doi-asserted-by": "publisher", "DOI": "10.1007/BF00173120" }, { "issue": "1", "key": "e_1_2_1_29_1", "doi-asserted-by": "crossref", "first-page": "33", "DOI": "10.1086/260169", "article-title": "Hedonic Prices and Implicit Markets", "volume": "82", "author": "Rosen S.", "year": "1974", "journal-title": "Journal of Political Economy" }, { "key": "e_1_2_1_30_1", "doi-asserted-by": "publisher", "DOI": "10.1016/S1051-1377(05)80028-2" }, { "key": "e_1_2_1_31_1", "doi-asserted-by": "publisher", "DOI": "10.1111/j.1540-6261.1986.tb04518.x" }, { "key": "e_1_2_1_32_1", "doi-asserted-by": "publisher", "DOI": "10.1086/261734" } ], "container-title": [ "Real Estate Economics" ], "language": "en", "link": [ { "URL": "https://api.wiley.com/onlinelibrary/tdm/v1/articles/10.1111%2F1540-6229.00066", "content-type": "unspecified", "content-version": "vor", "intended-application": "text-mining" }, { "URL": "https://onlinelibrary.wiley.com/doi/pdf/10.1111/1540-6229.00066", "content-type": "unspecified", "content-version": "vor", "intended-application": "similarity-checking" } ], "deposited": { "date-parts": [ [ 2023, 11, 16 ] ], "date-time": "2023-11-16T18:01:14Z", "timestamp": 1700157674000 }, "score": 146.76509, "resource": { "primary": { "URL": "https://onlinelibrary.wiley.com/doi/10.1111/1540-6229.00066" } }, "issued": { "date-parts": [ [ 2003, 5, 15 ] ] }, "references-count": 31, "journal-issue": { "issue": "2", "published-print": { "date-parts": [ [ 2003, 6 ] ] } }, "alternative-id": [ "10.1111/1540-6229.00066" ], "URL": "https://doi.org/10.1111/1540-6229.00066", "archive": [ "Portico" ], "ISSN": [ "1080-8620", "1540-6229" ], "issn-type": [ { "value": "1080-8620", "type": "print" }, { "value": "1540-6229", "type": "electronic" } ], "published": { "date-parts": [ [ 2003, 5, 15 ] ] } }