EconPapers    
Economics at your fingertips  
 

A Repeat Sales Index Robust to Small Datasets

Michel Baroni (), Fabrice Barthélémy () and Mokrane Mahdi
Additional contact information
Mokrane Mahdi: AEW Europe - AEW Europe

Post-Print from HAL

Abstract: As suggested by D. Geltner, commercial properties indices have to be built using repeat sales instead of hedonic indices. The repeat sales method is a means of constructing real estate price indices based on a repeated observation of property transactions. These indices may be used as benchmarks for real estate portfolio managers. But the investors in general are also interested in introducing real estate performance in their portfolio to enhance the efficient frontier. Thus, expected return and volatility are the two key parameters. To create and to improve contracts on real estate indices, trend and volatility of these indices must be robust regarding to the periodicity of the index and the volume of transactions. This paper aims to test the robustness of the trend and volatility estimations for two indices: the classical Weighted Repeat Sales (Case & Shiller 1987) and a PCA factorial index (Baroni, Barthélémy and Mokrane 2007). The estimations are computed from a dataset of Paris commercial properties. The main findings are the trend and volatility estimates are biased for the WRS index and not for the PCA factorial index when the periodicity increases. Consequently, the level of the index at the end of the computing period is significantly different for various periodicities in the case of the WRS index. Globally, the PCA factorial seems to be more robust to the number of transactions. Firstly, we present the two methodologies and then the dataset. Finally we test the impact of the number of transactions per period on the trend and volatility estimates for each index and we give an interpretation of the results.

Keywords: Estimation d'indices; Indice ventes répétées; Volume transactions immobilières; Index Estimations; Property Transactions Volume; Repeat Sales Indices (search for similar items in EconPapers)
Date: 2009-07-01
Note: View the original document on HAL open archive server: https://essec.hal.science/hal-00551732
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in 2009

Downloads: (external link)
https://essec.hal.science/hal-00551732/document (application/pdf)

Related works:
Journal Article: A repeat sales index robust to small datasets (2011) Downloads
Working Paper: A repeat sales index Robust to small datasets (2009) Downloads
Working Paper: A repeat sales index robust to small datasets (2009) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00551732

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().

 
Page updated 2025-03-19
Handle: RePEc:hal:journl:hal-00551732