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Information and repeat-sales

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Author Info
Arnaud Simon () (DRM - Dauphine Recherches en Management - CNRS : UMR7088 - Université Paris Dauphine - Paris IX)
Abstract

What is the informational structure of the repeat-sales index? In this article we answer it, deconstructing the global index in its building blocks. As by-products of this reformulation we establish very simple and intuitive formulas for the volatility of the index and the reversibility phenomenon. We study the formal link between the repeat-sales index and the price indexes (median, hedonic…). We introduce a methodology of data analysis that improves greatly the extraction of the information embedded in a dataset. At last, we give some elements for a more general theory of the informational repeat-sales indexes.

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File URL: http://halshs.archives-ouvertes.fr/docs/00/16/45/12/PDF/I_RS-v0.pdf
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Paper provided by HAL in its series Pre- and Post-Print documents with number halshs-00164512_v1.

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Date of creation: 20 Jul 2007
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Handle: RePEc:hal:papers:halshs-00164512_v1

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Related research
Keywords: Repeat-sales index information algorithmic decomposition volatility reversibility

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