European Business Schools Librarian's Group

ESSEC Working Papers,
ESSEC Research Center, ESSEC Business School

No DR 03002: Which Capital Growth Index for the Paris Residential Market?

Michel Baroni (), Fabrice Barthelemy () and Madhi Mokrane ()
Additional contact information
Michel Baroni: ESSEC Business School, Postal: Avenue Bernard Hirsch -B.P.105, 95021 CERGY-PONTOISE CEDEX FRANCE
Fabrice Barthelemy: THEMA, Postal: Universite de Cergy-Pontoise, 33 Bd du Port, 95011, Cergy-Pontoise Cedex FRANCE
Madhi Mokrane: European Research, IPD France, Postal: 80 avenue de la Grande Armée, Paris, 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

Keywords: Real estate indexes; valuation-based index; repaet sales; risk factors

JEL-codes: C20; G00

38 pages, February 2003

Full text files 

showDeclFileRes.do?declId=4636&key=__workpaper__ PDF-file

Download statistics

Questions (including download problems) about the papers in this series should be directed to Sophie Magnanou ()
Report other problems with accessing this service to Sune Karlsson ().

This page generated on 2024-02-05 15:47:16.