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APCA Factor Repeat Sales Index for Apartment Prices in Paris

Author

Listed:
  • Michel Baroni

    (ESSEC Business School, Cergy-Pontoise, France)

  • Fabrice Barthe´le´my

    (THEMA, Universite´ de Cergy-Pontoise Cergy-Pontoise, France)

  • Mahdi Mokrane

    (IXIS AEW EUROPE, Paris, France)

Abstract

This paper addresses the issue of building a repeat sales index based on explanatory factors. An earlier paper (Baroni, Barthe´le´my, and Mokrane, 2004), built a factorial index based on a selected linear function of economic and financial variables. Here, a more general and robust model based on Principal Components Analysis (PCA) is developed and applied to the Paris residential market over the 1973–2001 period. The PCA index for Paris is estimated and its characteristics and robustness are analyzed depending on estimation period, choice of observations, periodicity and reversibility. It is then compared to a standard repeat sales index (WRS), which was estimated using the same data, and the resulting indices are quite similar except in very particular market circumstances. Finally, contrary to the WRS index, the findings indicate that the PCA index can be efficiently used to forecast apartment prices.

Suggested Citation

  • Michel Baroni & Fabrice Barthe´le´my & Mahdi Mokrane, 2007. "APCA Factor Repeat Sales Index for Apartment Prices in Paris," Journal of Real Estate Research, American Real Estate Society, vol. 29(2), pages 137-158.
    • Handle: RePEc:jre:issued:v:29:n:2:2007:p:137-158
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    References listed on IDEAS

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    Cited by:

    1. Michel Baroni & Fabrice Barthélémy & Mahdi Mokrane, 2011. "A repeat sales index robust to small datasets," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 29(1), pages 35-48, February.
    2. Mick Silver, 2016. "How to Better Measure Hedonic Residential Property Price Indexes," IMF Working Papers 2016/213, International Monetary Fund.
    3. Michel Baroni & Fabrice Barthélémy & Mahdi Mokrane, 2008. "Is It Possible to Construct Derivatives for the Paris Residential Market?," The Journal of Real Estate Finance and Economics, Springer, vol. 37(3), pages 233-264, October.
    4. Marc Francke, 2010. "Repeat Sales Index for Thin Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 41(1), pages 24-52, July.
    5. Eric Thompson & David Rosenbaum & Benjamin Schmitz, 2011. "Property values on the plains: the impact of historic preservation," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 47(2), pages 477-491, October.
    6. Constantinescu, Mihnea & Francke, Marc, 2013. "The historical development of the Swiss rental market – A new price index," Journal of Housing Economics, Elsevier, vol. 22(2), pages 135-145.

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    JEL classification:

    • L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services

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