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Which Capital Growth Index for the Paris Residential Market?

Author

Listed:
  • Baroni, Michel

    (ESSEC Business School)

  • Barthelemy, Fabrice

    (THEMA)

  • Mokrane, Madhi

    (European Research, IPD France)

Abstract

In this paper we address the issue of measuring price performance for the Paris residential market. Our main focus is on choosing the appropiate index or indices capable of efficiently capturing capital growth, capital risk, and identifying the main risk factors inherent in this specific market.We identifying three existing indices but show that they may not be completely appropriate to address our main goals. We therefore construct two complementary repeat sales indices: a Case & Shiller (1987) Weighted Repeat sales (WRS) index and a Factorial index using the Baroni, Barthélémy & Mokhrane (2001) approach. We use the CD-BIEN database that contains more than 220 000 repeta sales transactions for residential properties in Paris area covering the period 1983-2001 period.We estimate these two indices for the Paris and close surrounding area and compare them to different existing indices: (I) the square metre index provides by the Chambre des Notaires de Paris and INSEE, (II) the IDP indices, (III) the listed real estate index. OUR conclusions yield interesting implications concerning real estate risk and suggest the construction of jointly using the repeat sales and the factorial approaches

Suggested Citation

  • Baroni, Michel & Barthelemy, Fabrice & Mokrane, Madhi, 2003. "Which Capital Growth Index for the Paris Residential Market?," ESSEC Working Papers DR 03002, ESSEC Research Center, ESSEC Business School.
    • Handle: RePEc:ebg:essewp:dr-03002
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    References listed on IDEAS

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    More about this item

    Keywords

    Real estate indexes; valuation-based index; repaet sales; risk factors;
    All these keywords.

    JEL classification:

    • C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
    • G00 - Financial Economics - - General - - - General

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