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Construction of a Transaction-Based Real Estate Index for the Paris Housing Market

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Author Info
Raimond Maurer ()
Martin Pitzer
Steffen Sebastian ()

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Abstract

In 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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Paper provided by Department of Finance, Goethe University Frankfurt am Main in its series Working Paper Series: Finance and Accounting with number 68.

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Date of creation: 2004
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Handle: RePEc:fra:franaf:68

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Related research
Keywords: Real estate investments - hedonic - index construction - Box–Cox transformation - diversification;

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Find related papers by JEL classification:
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 - - - Regional, Urban, and Rural Analyses
R20 - Urban, Rural, and Regional Economics - - Household Analysis - - - General

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References listed on IDEAS
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.:
  1. Fisher, Jeffrey D & Geltner, David M & Webb, R Brian, 1994. "Value Indices of Commercial Real Estate: A Comparison of Index Construction Methods," The Journal of Real Estate Finance and Economics, Springer, vol. 9(2), pages 137-64, September.
  2. Karl E. Case & Robert J. Shiller & Allan N. Weiss, 1991. "Index-Based Futures and Options Markets in Real Estate," Cowles Foundation Discussion Papers 1006, Cowles Foundation, Yale University. [Downloadable!]
  3. Cropper, Maureen L & Deck, Leland B & McConnell, Kenneth E, 1988. "On the Choice of Functional Form for Hedonic Price Functions," The Review of Economics and Statistics, MIT Press, vol. 70(4), pages 668-75, November. [Downloadable!] (restricted)
  4. Radcliffe G. Edmonds, 1984. "A Theoretical Basis for Hedonic Regression: A Research Primer," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 12(1), pages 72-85. [Downloadable!] (restricted)
  5. Cassel, Eric & Mendelsohn, Robert, 1985. "The choice of functional forms for hedonic price equations: Comment," Journal of Urban Economics, Elsevier, vol. 18(2), pages 135-142, September. [Downloadable!] (restricted)
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  1. Baroni, Michel & Barthélémy, Fabrice & Mokrane, Mahdi, 2004. "Physical Real Estate: A Paris Repeat Sales Residential Index," ESSEC Working Papers DR 04007, ESSEC Research Center, ESSEC Business School. [Downloadable!]
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