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Information and repeat-sales

Author

Listed:
  • Arnaud Simon

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

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.

Suggested Citation

  • Arnaud Simon, 2007. "Information and repeat-sales," Working Papers halshs-00164512, HAL.
    • Handle: RePEc:hal:wpaper:halshs-00164512
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00164512
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    File URL: https://shs.hal.science/halshs-00164512/document
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    Cited by:

    1. Arnaud Simon, 2009. "Quantifying the reversibility phenomenon for the repeat-sales index," Journal of Real Estate Research, American Real Estate Society, vol. 31(1), pages 27-62.

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