Caractéristiques statistiques et dynamique de prix des produits dérivés immobiliers

Pierre-Arnaud Drouhin

in Economics Thesis from University Paris Dauphine from Paris Dauphine University

Abstract: 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.

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 (search for similar items in EconPapers)
JEL-codes: G1 G14 R31 (search for similar items in EconPapers)
Date: 2012 Written 2012
Note: dissertation
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