Information and repeat-sales

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

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Abstract: What is the informational structure of the repeat-sales index? In this article we answer it, deconstructing the global index in its building blocks. As by-products of this reformulation we establish very simple and intuitive formulas for the volatility of the index and the reversibility phenomenon. We study the formal link between the repeat-sales index and the price indexes (median, hedonic...). We introduce a methodology of data analysis that improves greatly the extraction of the information embedded in a dataset. At last, we give some elements for a more general theory of the informational repeat-sales indexes.

Keywords: Repeat-sales index; information; algorithmic decomposition; volatility; reversibility (search for similar items in EconPapers)
Date: 2007-07-20
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00164512v1
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