Caractéristiques statistiques et dynamique de prix des produits dérivés immobiliers
- Batsch, Laurent
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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Keywords: Property derivatives; Term structure; Appraisal-based index; Market efficiency; Price discovery function; Produits dérivés immobiliers; Structure par terme; Indice sur valeurs d'expertises; Efficience des marchés; Fonction de découverte des prix;
Find related papers by JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G1 - Financial Economics - - General Financial Markets
- R31 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Housing Supply and Markets
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- 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.
- 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.
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- 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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