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Quantifying the reversibility phenomenon for the repeat-sales index

Author

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  • Arnaud Simon

    (Universit?Paris Dauphine Place du Maréchal de Lattre-de-Tassigny, 75775 Paris Cedex 16)

Abstract

The reversibility phenomenon in the repeat-sales index is a serious obstacle for derivatives products. This article provides a solution for this problem, using an informational reformulation of the RSI framework. We present first a theoretical formula (simple, easy to interpret, and easy to handle) and then implement it. For the derivatives our technique has strong implications for the choice of underlying index and contract settlement. Even if reversibility of the RSI is probably higher compared with the hedonic approach, this index remains a challenger because of the predictability and quantifiability of its revisions.

Suggested Citation

  • Arnaud Simon, 2009. "Quantifying the reversibility phenomenon for the repeat-sales index," Journal of Real Estate Research, American Real Estate Society, vol. 31(1), pages 27-62.
    • Handle: RePEc:jre:issued:v:31:n:1:2009:p:27-62
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    References listed on IDEAS

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    Cited by:

    1. Song Shi & Martin Young & Bob Hargreaves, 2010. "House Price-Volume Dynamics: Evidence from 12 Cities in New Zealand," Journal of Real Estate Research, American Real Estate Society, vol. 32(1), pages 75-100.

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    JEL classification:

    • L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services

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