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Caractéristiques statistiques et dynamique de prix des produits dérivés immobiliers

  • Batsch, Laurent
  • Drouhin, Pierre-Arnaud
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    Despite the fact that real estate is the largest asset class in our economy, it is one of the few that do not have a mature derivatives market. Recent academic studies have shown that the lack of understanding of real estate derivatives’ prices is the main reason for the absence of a market. This dissertation aims to change this. By conducting theoretical and empirical studies we describe their statistical characteristics, their risk factors, and we highlight their importance in terms of price discovery function. Property derivatives are an essential tool for risk management, but they also offer for investors and regulators a source of information that would otherwise not be available.

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    File URL: http://basepub.dauphine.fr/xmlui/bitstream/123456789/10918/1/These%20Drouhin%20Pierre-Arnaud.pdf
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    This book is provided by Paris Dauphine University in its series Economics Thesis from University Paris Dauphine with number 123456789/10918 and published in 2012.
    Order: http://basepub.dauphine.fr/xmlui/handle/123456789/10918
    Handle: RePEc:dau:thesis:123456789/10918
    Note: dissertation
    Contact details of provider: Web page: http://www.dauphine.fr/en/welcome.html

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    1. Robert Edelstein & Daniel Quan, 2006. "How Does Appraisal Smoothing Bias Real Estate Returns Measurement?," The Journal of Real Estate Finance and Economics, Springer, vol. 32(1), pages 41-60, February.
    2. David Hartzell & John S. Hekman & Mike E. Miles, 1987. "Real Estate Returns and Inflation," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 15(1), pages 617-637.
    3. Glascock, John L & Lu, Chiuling & So, Raymond W, 2000. "Further Evidence on the Integration of REIT, Bond, and Stock Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 20(2), pages 177-94, March.
    4. Colin Lizieri & Gianluca Marcato & Paul Ogden & Andrew Baum, 2012. "Pricing Inefficiencies in Private Real Estate Markets Using Total Return Swaps," The Journal of Real Estate Finance and Economics, Springer, vol. 45(3), pages 774-803, October.
    5. Juerg Syz & Paolo Vanini & Marco Salvi, 2008. "Property Derivatives and Index-Linked Mortgages," The Journal of Real Estate Finance and Economics, Springer, vol. 36(1), pages 23-35, January.
    6. Mark Bertus & Harris Hollans & Steve Swidler, 2008. "Hedging House Price Risk with CME Futures Contracts: The Case of Las Vegas Residential Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 37(3), pages 265-279, October.
    7. Daniel C. Quan & John M. Quigley, 1989. "Inferring an Investment Return Series for Real Estate from Observations on Sales," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 17(2), pages 218-230.
    8. Björk, Tomas & Clapham, Eric, 2002. "A Note on the Pricing of Real Estate Index Linked Swaps," SSE/EFI Working Paper Series in Economics and Finance 492, Stockholm School of Economics.
    9. Jim Clayton & David Geltner & Stanley W. Hamilton, 2001. "Smoothing in Commercial Property Valuations: Evidence from Individual Appraisals," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 29(3), pages 337-360.
    10. J. Andrew Hansz & Julian Diaz III, 2001. "Valuation Bias in Commercial Appraisal: A Transaction Price Feedback Experiment," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 29(4), pages 553-565.
    11. David Geltner, 1993. "Temporal Aggregation in Real Estate Return Indices," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 21(2), pages 141-166.
    12. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
    13. Quan, Daniel C & Quigley, John M, 1991. "Price Formation and the Appraisal Function in Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 4(2), pages 127-46, June.
    14. Geltner, David Michael, 1991. "Smoothing in Appraisal-Based Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 4(3), pages 327-45, September.
    15. Marjorie Flavin & Takashi Yamashita, 2002. "Owner-Occupied Housing and the Composition of the Household Portfolio," American Economic Review, American Economic Association, vol. 92(1), pages 345-362, March.
    16. Richard Barkham & David Geltner, 1995. "Price Discovery in American and British Property Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 23(1), pages 21-44.
    17. Roger G. Ibbotson & Laurence B. Siegel, 1984. "Real Estate Returns: A Comparison with Other Investments," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 12(3), pages 219-242.
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