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Quantifying the Reversibility Phenomenon for the Repeat-Sales Index

Simon, Arnaud (2007-02), Quantifying the Reversibility Phenomenon for the Repeat-Sales Index, European real estate society ERES 2007- International conference of the American Real Estate and Urban Economics Association 2007, 2007, Londres - Macao, Royaume-Uni

Type
Communication / Conférence
External document link
http://halshs.archives-ouvertes.fr/halshs-00150902/en/
Date
2007-02
Conference title
European real estate society ERES 2007- International conference of the American Real Estate and Urban Economics Association 2007
Conference date
2007
Conference city
Londres - Macao
Conference country
Royaume-Uni
Metadata
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Author(s)
Simon, Arnaud
Abstract (EN)
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.
Subjects / Keywords
Information; Quantification; Reversibility; Markovian process; Monte Carlo simulations

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