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Physical Real Estate. A Paris Repeat Sales Residential Index

Author

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  • Michel Baroni
  • Fabrice Barthélémy
  • Mahdi Mokrane

Abstract

In this paper we present the repeat sales index methodology developed by Case and Shiller (1987) and its estimation problem. We particularly describe the problem arising from the time intervals construction for the estimation. We then apply this methodology to the Paris residential market. We use the CD-BIEN database that contains more than 220 000 repeat sales transactions for residential properties in the Paris area covering the period 1973-2001. This index based on returns is compared to the official one used in France for Paris based on single prices, the Notaires/INSEE index. We then underline the robustness of in the index estimation according to its periodicity by the way of the return and volatility estimation. The index sensibility to the time period is studied in the last part. We conclude that i) the estimation is quite robust whatever the estimation period is, and ii) this index is significantly different from the official residential index for Paris.

Suggested Citation

  • Michel Baroni & Fabrice Barthélémy & Mahdi Mokrane, 2004. "Physical Real Estate. A Paris Repeat Sales Residential Index," ERES eres2004_105, European Real Estate Society (ERES).
    • Handle: RePEc:arz:wpaper:eres2004_105
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    Cited by:

    1. de Vries, Paul & de Haan, Jan & van der Wal, Erna & Mariën, Gust, 2009. "A house price index based on the SPAR method," Journal of Housing Economics, Elsevier, vol. 18(3), pages 214-223, September.
    2. S. Jansen & P. Vries & H. Coolen & C. Lamain & P. Boelhouwer, 2008. "Developing a House Price Index for The Netherlands: A Practical Application of Weighted Repeat Sales," The Journal of Real Estate Finance and Economics, Springer, vol. 37(2), pages 163-186, August.
    3. Arnaud Simon, 2009. "Quantifying the reversibility phenomenon for the repeat-sales index," Journal of Real Estate Research, American Real Estate Society, vol. 31(1), pages 27-62.
    4. Charles‐Olivier Amédée‐Manesme & Fabrice Barthélémy & Michel Baroni & Etienne Dupuy, 2013. "Combining Monte Carlo simulations and options to manage the risk of real estate portfolios," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 31(4), pages 360-389, July.
    5. Michel Baroni & Fabrice Barthélémy & Mahdi Mokrane, 2007. "Optimal holding period for a real estate portfolio," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 25(6), pages 603-625, October.
    6. Paul de Vries & Frank Vastman, 2011. "Towards an index for the rental sector: a model for the Flanders housing market," ERES eres2011_335, European Real Estate Society (ERES).

    More about this item

    JEL classification:

    • R3 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location

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