Smoothing in Commercial Property Valuations: Evidence from Individual Appraisals
研究商业地产评估中的平滑偏差，发现评估师会依赖历史交易价格和自身前期估值，导致估值滞后于市场变化，建议投资经理轮换评估机构以减少偏差。
We explore the causes and extent of appraisal smoothing, defined as a temporal lag bias in appraisals, by analyzing how appraisers use the transaction price data available to them. We test the empirical validity of the partial adjustment model that underlies the traditional “unsmoothing” of benchmark return indexes. We reject the no‐lag null hypothesis and find that the extent of bias‐inducing behavior appears to vary over time in the manner suggested by rational appraisal behavior as the quantity and quality of contemporaneous transaction information changes. We find evidence that appraisers valuing the same property in consecutive periods anchor onto their previous appraised values, resulting in more lagging than first‐time appraisals. An implied policy prescription is for investment managers to rotate appraisers so as not to allow the same appraisal firm to consecutively value the same property.