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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.
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*This paper has been developed at the Research Program ‘Real Estate Finance’ at Goethe-University of Frankfurt/Main (Germany). We gratefully acknowledge iii Internationales Immobilien Institut, IVG Holding AG and Stiftung Rheinische Hypothekenbank for their financial support. For further information, see www.real-estate-finance.de. We thank the participants of the 8th Conference of the European Real Estate Society (ERES), the International Conference of the American Real Estate and Urban Economics Association (AREUEA), the 10th Global Finance Conference 2003 and the anonymous referees for helpful comments, which improved the paper substantially.
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Maurer, R., Pitzer, M. & Sebastian*, S. Hedonic price indices for the Paris housing market. Allgemeines Statistisches Arch 88, 303– 326 (2004). https://doi.org/10.1007/s101820400173
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DOI: https://doi.org/10.1007/s101820400173