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Revisiting the Past and Settling the Score: Index Revision for House Price Derivatives

  • Eric Clapham
  • Peter Englund
  • John M. Quigley
  • Christian L. Redfearn

This article examines index revision in measuring the prices for owner-occupied housing. We consider revision in the context of equity insurance and the settlement of futures contracts. The usefulness of aggregate housing price indexes in these contexts requires stability as they are extended. Methods that are subject to substantial revision raise questions about the viability of derivatives markets. We find that the most widely used house price indexes are not equally exposed to volatility in revision. Hedonic indexes appear to be substantially more stable than repeat-sales indexes and are not prone to the systematic downward revision found in the repeat-sales indexes. Copyright 2006 American Real Estate and Urban Economics Association

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Article provided by American Real Estate and Urban Economics Association in its journal Real Estate Economics.

Volume (Year): 34 (2006)
Issue (Month): 2 (06)
Pages: 275-302

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Handle: RePEc:bla:reesec:v:34:y:2006:i:2:p:275-302
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  1. Jesse M. Abraham & William S. Schauman, 1991. "New Evidence on Home Prices from Freddie Mac Repeat Sales," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 19(3), pages 333-352.
  2. Case, Bradford & Pollakowski, Henry O & Wachter, Susan M, 1997. "Frequency of Transaction and House Price Modeling," The Journal of Real Estate Finance and Economics, Springer, vol. 14(1-2), pages 173-87, Jan.-Marc.
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