Market Risk Factor and the Weighted Repeated Sales Method
This paper identifies a critical issue in the Weighted Repeated Sales (WRS) method – the omission of market risk in the weight estimation model specified by Case and Shiller (1989). It demonstrates that the omission of market risk is conceptually unjustified. Through extensive examination of the real estate market risk, the study not only proposes a modified WRS model that is empirically supported, but also contributes to the broad discussion on the term structure of the real estate risk. It also shows that the Case-Shiller weighting method is likely to be misspecified in nine of the ten cities where the Case-Shiller metro indices are "tradable" with housing options and futures contracts listed on the Chicago Mercantile Exchange. Using a large sample of repeated sales from Washington DC area, the original repeated sales method of Bailey, Muth, and Nourse (1963) and the Case-Shiller method are compared against the modified WRS, and the results indicate that market risk plays an important role in the index estimation
Year of publication: |
2017
|
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Authors: | Cheng, Ping |
Other Persons: | He, Xin (contributor) ; Lin, Zhenguo (Len) (contributor) ; Liu, Yingchun (contributor) |
Publisher: |
[2017]: [S.l.] : SSRN |
Saved in:
freely available
Extent: | 1 Online-Ressource (31 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | In: Journal of Real Estate Research, 2015, Vol. 37 (1), 1-22 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 30, 2014 erstellt |
Classification: | R3 - Real Estate Markets, Spatial Production Analysis, and Firm Location |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012973177
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