In this paper we present the repeat sales index methodology developed by Case and Shiller (1987) and its estimation problem. We particularly describe the problem arising from the time intervals construction for the estimation. We then apply this methodology to the Paris residential market. We...

Purpose – The purpose of this paper is to demonstrate the impact of lease duration and lease break options on the optimal holding period for a real estate asset or portfolio. Design/methodology/approach – The authors use a Monte Carlo simulation framework to simulate a real estate asset’s...

In this paper we address the issue of building a factor repeat sales index based on factors. This is an extension of a companion paper, Baroni, BarthÈlÈmy and Mokrane (2001, BBM) where we built such an index but as a selected linear function of existing economics and financial variables. Here...

In this paper, simulated cash flows are used to value real estate assets. We generate the cash flows by Monte Carlo simulations both for the current and the terminal cash flows. Important simulation inputs, such as the physical real estate price volatility estimator, are provided by results on...

"Case & Shiller repeat sales indices is a means of constructing real estate price indices only based on repeated observations of property transactions. No forecasts may be considered because of the method itself that lies on information entirely contained in the property market. Baroni M.,...

In this paper we present the two repeat sales index methodologies developed by Case and Shiller 1987 (WRS) Baroni, BarthÈlÈmy and Mokrane 2005 (BBM). We then apply these methodologies to the Paris commercial property market. We use the CD-BIEN database that contains more than 10 000 repeat...

As suggested by D. Geltner, commercial properties indices have to be built using repeat sales instead of hedonic indices. The repeat sales method is a means of constructing real estate price indices based on a repeated observation of property transactions. These indices may be used as benchmarks...

Purpose The purpose of this paper is to exhibit the impacts of lease duration and lease break options on the optimal holding period for a real estate asset or portfolio Methodology / approach We use a Monte Carlo simulation framework to simulate a real estate assets cash-flows in which lease...

Real estate markets are often subject to price shocks whose amplitude may be very high. According to R. Shiller (1998), these shocks are as difficult to explain as those that affect equity or debt markets. The investors and all financial institutions are in need of hedging products or...

This article focuses on the driving factors associated with the Paris apartment market. The research explores a database of around 276 000 transactions for residential properties in the Paris area over the 1982-2005 period. A factorial model may capture the systematic link between residential...