Repeat‐Sales Indexes: Estimation without Assuming that Errors in Asset Returns Are Independently Distributed
AbstractThis paper proposes an alternative specification for the second stage of the Case-Shiller repeat sales method. This specification is based on serial correlation in the deviations from the mean one-period returns on the underlying individual assets, whereas the original Case-Shiller method assumes that the deviations from mean returns by the underlying individual assets are i.i.d. The methodology proposed in this paper is easy to implement and provides more accurate estimates of the standard errors of returns under serial correlation. The repeat sales methodology is generally used to construct an index of prices or returns for unique, infrequently traded assets such as houses, art, and musical instruments which are likely to be prone to exhibit serial correlation in returns. We demonstrate our methodology on a dataset of art prices and on a dataset of real estate prices from the city of Amsterdam.
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Bibliographic InfoArticle provided by American Real Estate and Urban Economics Association in its journal Real Estate Economics.
Volume (Year): 40 (2012)
Issue (Month): 1 (03)
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Other versions of this item:
- Campbell, Rachel & Graddy, Kathryn & Hamilton, Jonathan, 2009. "Repeat Sales Indexes: Estimation Without Assuming that Errors in Asset Returns Are Independently Distributed," CEPR Discussion Papers 7344, C.E.P.R. Discussion Papers.
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C29 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Other
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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