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...

ERES:conference

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...

In this paper we investigate the risk factors associated with real estate investment. We explore a rich database of over 100 000 transactions mainly for residential assets in the Paris area over the 1973 ñ 1998 period. The main risk factors are identified using a Principal Component Analysis as...

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.,...

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...

This paper considers the use of options in real estate risk financing and investment. A model similar to Black and Cox (1976) for pricing senior-junior debt claims is presented and proved useful for pricing outside debt financing in the context of real estate risk. Next, Quigg's (1993) strategic...

This paper considers the use of simulated cash flows to value assets and options in assets in real estate investment. We motivate the use of Monte-Carlo simulation methods for the measurement of complex cash generating assets such as real estate assets return distribution. Important simulation...