Description Usage Arguments Details Author(s) References Examples
David Geltner developed a method to remove estimating or liquidity bias in real estate index returns. It has since been applied with success to other return series that show autocorrelation or illiquidity effects.
1 | Return.Geltner(Ra, ...)
|
Ra |
an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns |
... |
any other passthru parameters |
The theory is that by correcting for autocorrelation, you are uncovering a "true" return from a series of observed returns that contain illiquidity or manual pricing effects.
The Geltner autocorrelation adjusted return series may be calculated via:
Geltner.returns = [R(t) - R(t-1)*acf(R(t-1))]/1-acf(R(t-1))
Geltner.returns = [R(t) - R(t-1)*acf(R(t-1))]/1-acf(R(t-1))
where acf(R(t-1)) is the first-order autocorrelation of the return series Ra and R(t) is the return of Ra at time t and R(t-1) is the one-period lagged return.
Brian Peterson
"Edhec Funds of Hedge Funds Reporting Survey : A Return-Based Approach to Funds of Hedge Funds Reporting",Edhec Risk and Asset Management Research Centre, January 2005,p. 27
Geltner, David, 1991, Smoothing in Appraisal-Based Returns, Journal of Real Estate Finance and Economics, Vol.4, p.327-345.
Geltner, David, 1993, Estimating Market Values from Appraised Values without Assuming an Efficient Market, Journal of Real Estate Research, Vol.8, p.325-345.
1 2 |
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.