Eres : Digital Library : Works

Paper eres2017_167:
A changing model for Real Estate Returns: a factorial approach

id eres2017_167
authors Amédée-Manesme, Charles-Olivier; Michel Baroni, Fabrice Barthélémy
year 2017
title A changing model for Real Estate Returns: a factorial approach
source 24th Annual European Real Estate Society Conference in Delft, Netherlands
summary This paper aims to describe the deformation of the factorial model that explains real estate returns over time. If economic and financial factors may be used to estimate a repeat sales factorial index, their impact on the model may change from one period to another.This research based on the methodology of the factorial index elaborated in Baroni M, Barthélémy F. and Mokrane M, JRER, 2007, addresses this issue and highlights the changing impact of the interest rates. It also tries to identify specific events that provoked these changes.To reach this objective, the index for the period 1982-2001 is considered as a basis, and then the weights of the factors are estimated by rolling periods with a one-month step until 2015. In this way time series of each factor weights are built and then analysed. The BIEN database, provided by the Chambre des Notaires of Paris, which includes repeat sales transactions for residential properties in Paris and close surroundings over the 1982-2015 period is used to perform this study.
keywords Real Estate indexes; Repeat Sales indexes; Factorial Model;
series ERES:conference
type paper session
discussion No discussions. Post discussion ...
ratings
session Housing Markets & Economics
last changed 2017/11/18 16:20
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