Information and repeat-sales
Simon, Arnaud (2007-07), Information and repeat-sales. https://basepub.dauphine.fr/handle/123456789/3044
TypeDocument de travail / Working paper
External document linkhttp://halshs.archives-ouvertes.fr/halshs-00164512/en/
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Abstract (EN)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.
Subjects / KeywordsRepeat-sales index; information; algorithmic decomposition; volatility; reversibility
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