Quantifying the reversibility phenomenon for the repeat-sales index
Simon, Arnaud (2009), Quantifying the reversibility phenomenon for the repeat-sales index, The Journal of real estate research, 31, 1, p. 27-62
TypeArticle accepté pour publication ou publié
Journal nameThe Journal of real estate research
American Real Estate Society
MetadataShow full item record
Abstract (EN)The reversibility phenomenon in the repeat-sales index is a serious obstacle for derivatives products. This article provides a solution for this problem, using an informational reformulation of the RSI framework. We present first a theoretical formula (simple, easy to interpret, and easy to handle) and then implement it. For the derivatives our technique has strong implications for the choice of underlying index and contract settlement. Even if reversibility of the RSI is probably higher compared with the hedonic approach, this index remains a challenger because of the predictability and quantifiability of its revisions.
Subjects / KeywordsQuantification; Markovian process; Monte Carlo simulations; Reversibility; Derivative securities; Repeat-sales technique
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