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.
Search Authors in
