European Business Schools Librarian's Group
ESSEC Working Papers,
ESSEC Research Center, ESSEC Business School
No DR 04007: Physical Real Estate: A Paris Repeat Sales Residential Index
Michel Baroni (), Fabrice Barthélémy () and Mahdi Mokrane ()
Additional contact information
Michel Baroni: ESSEC Business School, Postal: Avenue Bernard Hirsch - B.P. 50105, 95021 CERGY-PONTOISE CEDEX , FRANCE,
Fabrice Barthélémy: THEMA, University of Cergy-Pontoise, Postal: 33, Bd du Port, 95011 CERGY-PONTOISE CEDEX , FRANCE
Mahdi Mokrane: IPD France, Postal: 80, Ave de la Grande Armée, 75017 PARIS, FRANCE
Abstract: In this paper we present the repeat sales index methodology developed by Case and Shiller (1987) and its estimation problem. We particularly describe the problem arising from the time intervals construction for the estimation. We then apply this methodology to the Paris residential market. We use the CD-BIEN database that contains more than 220 000 repeat sales transactions for residential properties in the Paris area covering the period 1973-2001 period. This index based on returns is compared to the official one used in France for Paris based on single prices, the Notaires/INSEE index. We then underline the robustness of in the index estimation according to its periodicity by the way of the return and volatility estimation. The index sensibility to the time period is studied in the last part. We conclude that i) the estimation is quite robust whatever the estimation period is, and ii) this index is significantly different from the official residential index for Paris
Keywords: Real estate indexes; Repeat sales indexes
24 pages, June 2004
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