Physical Real Estate: A Paris Repeat Sales Residential Index
AbstractIn this paper we present the repeat sales index methodology developed by Case and Shiller (1987) and its estimation problem. We particularly describe the problem arising from the time intervals construction for the estimation. We then apply this methodology to the Paris residential market. We use the CD-BIEN database that contains more than 220 000 repeat sales transactions for residential properties in the Paris area covering the period 1973-2001 period. This index based on returns is compared to the official one used in France for Paris based on single prices, the Notaires/INSEE index. We then underline the robustness of in the index estimation according to its periodicity by the way of the return and volatility estimation. The index sensibility to the time period is studied in the last part. We conclude that i) the estimation is quite robust whatever the estimation period is, and ii) this index is significantly different from the official residential index for Paris
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by ESSEC Research Center, ESSEC Business School in its series ESSEC Working Papers with number DR 04007.
Length: 24 pages
Date of creation: Jun 2004
Date of revision:
Real estate indexes; Repeat sales indexes;
Other versions of this item:
- M. Baroni & F. Barthélémy & M. Mokrane, 2004. "Physical Real Estate: A Paris Repeat Sales Residential Index," THEMA Working Papers 2004-17, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
- G00 - Financial Economics - - General - - - General
This paper has been announced in the following NEP Reports:
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Case, Bradford & Quigley, John M, 1991. "The Dynamics of Real Estate Prices," The Review of Economics and Statistics, MIT Press, vol. 73(1), pages 50-58, February.
- Raimond Maurer & Martin Pitzer & Steffen Sebastian, 2004.
"Construction of a Transaction-Based Real Estate Index for the Paris Housing Market,"
Working Paper Series: Finance and Accounting
68, Department of Finance, Goethe University Frankfurt am Main.
- Maurer, Raimond & Pitzer, Martin & Sebastian, Steffen, 2001. "Construction of a Transaction Based Real Estate Index for the Paris Housing Market," Sonderforschungsbereich 504 Publications 01-17, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim.
- Goetzmann, William Nelson, 1992.
"The Accuracy of Real Estate Indices: Repeat Sale Estimators,"
The Journal of Real Estate Finance and Economics,
Springer, vol. 5(1), pages 5-53, March.
- Goetzmann, W.N., 1990. "The Accuracy Of Real Estimate Indices: Repeat Sale Estimators," Papers fb-_90-17, Columbia - Graduate School of Business.
- Karl E. Case & Robert J. Shiller, 1989.
"The Efficiency of the Market for Single-Family Homes,"
NBER Working Papers
2506, National Bureau of Economic Research, Inc.
- Case, Karl E & Shiller, Robert J, 1989. "The Efficiency of the Market for Single-Family Homes," American Economic Review, American Economic Association, vol. 79(1), pages 125-37, March.
- Gatzlaff, Dean H & Haurin, Donald R, 1997. "Sample Selection Bias and Repeat-Sales Index Estimates," The Journal of Real Estate Finance and Economics, Springer, vol. 14(1-2), pages 33-50, Jan.-Marc.
- Amédée-Manesme, Charles-Olivier & Baroni, Michel & Barthélémy, Fabrice & Dupuy, Etienne, 2012.
"Combining Monte Carlo Simulations and Options to Manage the Risk of Real Estate Portfolios,"
ESSEC Working Papers
WP1115, ESSEC Research Center, ESSEC Business School.
- Charles-Olivier Amédée-Manesme & Michel Baroni & Fabrice Barthélémy & Etienne Dupuy, 2011. "Combining Monte Carlo Simulations and Options to Manage the Risk of Real Estate Portfolios," Post-Print hal-00671067, HAL.
- 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.
- de Vries, Paul & de Haan, Jan & van der Wal, Erna & Mariën, Gust, 2009. "A house price index based on the SPAR method," Journal of Housing Economics, Elsevier, vol. 18(3), pages 214-223, September.
- S. Jansen & P. Vries & H. Coolen & C. Lamain & P. Boelhouwer, 2008. "Developing a House Price Index for The Netherlands: A Practical Application of Weighted Repeat Sales," The Journal of Real Estate Finance and Economics, Springer, vol. 37(2), pages 163-186, August.
- Baroni, Michel & Barthélémy, Fabrice & Mokrane, Mahdi, 2007. "Optimal Holding Period for a Real Estate Portfolio," ESSEC Working Papers DR 07008, ESSEC Research Center, ESSEC Business School.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sophie Magnanou).
If references are entirely missing, you can add them using this form.