The effect of seasonality of valuations on property risk

Graeme Newell and John MacFarlane

Journal of Property Research, 1998, vol. 15, issue 3, 167-182

Abstract: Valuations on individual properties in property indices are often not carried out at the end of each reporting period or properties not revalued in a given reporting period. This study presents improved property risk formulae to account for this seasonality of revaluations in quarterly, monthly and six-monthly property indices. Using benchmark property returns series from the US, Canada, UK and Australia, it is found that the impact of revaluation seasonality on property risk is most evident in the quarterly US and Canadian property returns series. In each of these four cases, significant increases in property risk are required to account for appraisal-smoothing and revaluation seasonality.

Date: 1998
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DOI: 10.1080/095999198368356

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