Construction of a Transaction-Based Real Estate Index for the Paris Housing Market
AbstractIn this paper, we calculate a transaction–based price index for apartments in Paris (France). The heterogeneous character of real estate is taken into account using an hedonic model. The functional form is specified using a general Box–Cox function. The data basis covers 84 686 transactions of the housing market in 1990:01–1999:12, which is one of the largest samples ever used in comparable studies. Low correlations of the price index with stock and bond indices (first differences) indicate diversification benefits from the inclusion of real estate in a mixed asset portfolio.
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Bibliographic InfoPaper provided by Department of Finance, Goethe University Frankfurt am Main in its series Working Paper Series: Finance and Accounting with number 68.
Date of creation: 2004
Date of revision:
Real estate investments - hedonic - index construction - Box–Cox transformation - diversification;
Other versions of this item:
- 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.
- C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- O18 - Economic Development, Technological Change, and Growth - - Economic Development - - - Urban, Rural, Regional, and Transportation Analysis; Housing; Infrastructure
- R20 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Household Analysis - - - General
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- Baroni, Michel & Barthélémy, Fabrice & Mokrane, Mahdi, 2009.
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