IDEAS home Printed from
   My bibliography  Save this paper

A changing model for Real Estate Returns: a factorial approach


  • Charles-Olivier Amédée-Manesme
  • Michel Baroni
  • Fabrice Barthélémy


This paper aims to describe the deformation of the factorial model that explains real estate returns over time. If economic and financial factors may be used to estimate a repeat sales factorial index, their impact on the model may change from one period to another.This research based on the methodology of the factorial index elaborated in Baroni M, Barthélémy F. and Mokrane M, JRER, 2007, addresses this issue and highlights the changing impact of the interest rates. It also tries to identify specific events that provoked these changes.To reach this objective, the index for the period 1982-2001 is considered as a basis, and then the weights of the factors are estimated by rolling periods with a one-month step until 2015. In this way time series of each factor weights are built and then analysed.The BIEN database, provided by the Chambre des Notaires of Paris, which includes repeat sales transactions for residential properties in Paris and close surroundings over the 1982-2015 period is used to perform this study.

Suggested Citation

  • Charles-Olivier Amédée-Manesme & Michel Baroni & Fabrice Barthélémy, 2017. "A changing model for Real Estate Returns: a factorial approach," ERES eres2017_167, European Real Estate Society (ERES).
  • Handle: RePEc:arz:wpaper:eres2017_167

    Download full text from publisher

    File URL:
    Download Restriction: no

    More about this item


    Factorial Model; Real Estate indexes; Repeat Sales indexes;

    JEL classification:

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

    NEP fields

    This paper has been announced in the following NEP Reports:


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arz:wpaper:eres2017_167. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Architexturez Imprints). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.