Quantifying the Reversibility Phenomenon for the Repeat-Sales Index

Arnaud Simon ()
Additional contact information
Arnaud Simon: DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique

Post-Print from HAL

Abstract: The reversibility phenomenon for the repeat-sales index (RSI) is a serious obstacle for the derivatives products; it could hinder their introduction or their success. It is also an undesirable characteristic for the management of the real estate risk. This article provides a general solution for this problem, using an informational reformulation of the RSI framework. We present first a theoretical formula, easy to interpret and easy to handle, before implementing it. Our methodology is robust in the sense that its conclusions are not conditioned by any specific dataset; moreover, the numerical estimations of the reversibility percentages are reliable. For the derivatives our technique has strong implications for the choice of the underlying index. Indeed, even if the reversibility of the RSI is probably higher compared to the hedonic one, this index remains a challenger because of the predictability and the quantifiability of its revisions.

Keywords: Reversibility; Quantification; Information; Monte Carlo simulations; Markovian process (search for similar items in EconPapers)
Date: 2007
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00150902v1
References: Add references at CitEc
Citations:

Published in - European real estate society ERES 2007- International conference of the American Real Estate and Urban Economics Association 2007, 2007, Londres - Macao, United Kingdom

Downloads: (external link)
https://shs.hal.science/halshs-00150902v1/document (application/pdf)

Related works:
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:halshs-00150902

Access Statistics for this paper

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