Hedonic price indices for the Paris housing market

Maurer, Raimond ; Pitzer, Martin ; Sebastian, Steffen

DOI: https://doi.org/10.1007/s101820400173
Additional URL: http://www.springerlink.com/content/8ux2w6la3c6ea8...
URN: urn:nbn:de:bsz:180-madoc-297672
Document Type: Article
Year of publication: 2001
The title of a journal, publication series: Allgemeines Statistisches Archiv : AStA
Volume: 88
Issue number: 3
Page range: 303-326
Place of publication: Heidelberg
Publishing house: Physica-Verl.
ISSN: 0002-6018 , 1614-0176
Publication language: English
Institution: Business School > ABWL, Risikotheorie, Portfolio Management u. Versicherungswissenschaft (Albrecht 1989-2021)
MADOC publication series: Lehrstuhl für ABWL, Risikotheorie, Portfolio Management und Versicherungswirtschaft (Albrecht) > Mannheimer Manuskripte zu Risikotheorie, Portfolio Management und Versicherungswirtschaft
Subject: 330 Economics
Classification: JEL: O18 C51 C43 R20 ,
Subject headings (SWD): Wohnungsmarkt , Immobilienanlage , Hedonischer Preisindex
Keywords (English): Real estate investments , hedonic , index construction , Box-Cox transformation, diversification
Abstract: In this paper, we calculate a transaction-based price index for apartments in Paris (France). The heterogeneous character of real estate is taken into account using an hedonic model. The functional form is specified using a general Box-Cox function. The data basis covers 84 686 transactions of the housing market in 1990:01 - 1999:12, which is one of the largest samples ever used in comparable studies. Low correlations of the price index with stock and bond indices (first differences) indicate diversification benefits from the inclusion of real estate in a mixed asset portfolio.
Translation of the title: Konstruktion transaktionsbasierter Immobilienindizes: Theoretische Grundlagen und empirische Umsetzung für den Wohnungsmarkt Paris (German)
Additional information: The final publication is available at www.springerlink.com

Dieser Eintrag ist Teil der Universitätsbibliographie.

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