Construction of a Transaction-Based Real Estate Index for the Paris Housing Market

Raimond Maurer (), Martin Pitzer and Steffen Sebastian ()

No 68, Working Paper Series: Finance and Accounting from Department of Finance, Goethe University Frankfurt am Main

Abstract: In this paper, we calculate a transaction–based price index for apartments in Paris (France). The heterogeneous character of real estate is taken into account using an hedonic model. The functional form is specified using a general Box–Cox function. The data basis covers 84 686 transactions of the housing market in 1990:01–1999:12, which is one of the largest samples ever used in comparable studies. Low correlations of the price index with stock and bond indices (first differences) indicate diversification benefits from the inclusion of real estate in a mixed asset portfolio.

Keywords: Real; estate; investments; -; hedonic; -; index; construction; -; Box–Cox; transformation; -; diversification (search for similar items in EconPapers)
JEL-codes: C43 C51 O18 R20 (search for similar items in EconPapers)
Date: 2004
New Economics Papers: this item is included in nep-eec
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Working Paper: Construction of a Transaction Based Real Estate Index for the Paris Housing Market (2001)
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