Abstract

http://ssrn.com/abstract=1945199
 
 

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Robust Repeat Sales Indexes


Steven C. Bourassa


Florida Atlantic University

Eva Cantoni


University of Geneva

Martin Hoesli


University of Geneva - Graduate School of Business (HEC-Geneva); University of Aberdeen - Business School; Swiss Finance Institute

October 13, 2011

Swiss Finance Institute Research Paper No. 11-46

Abstract:     
Using single-family sales data for Louisville, Kentucky, we show the benefits of applying robust methods to down-weight problematic transactions in a repeat sales context. Robust estimators reduce the influence of outliers in repeat sales price changes that are due to data entry errors, quality changes, or non-market transactions. In addition to comparing conventional and robust indexes, we also use simulated data, where the correct index is known, to show that robust methods control for the impacts of contaminated data. Finally, we demonstrate that robust methods reduce the magnitude and volatility of index revisions.

Number of Pages in PDF File: 48

Keywords: repeat sales indexes, robust methods, flips, distressed sales, index revision

JEL Classification: R31

working papers series





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Date posted: October 19, 2011  

Suggested Citation

Bourassa, Steven C. and Cantoni, Eva and Hoesli, Martin, Robust Repeat Sales Indexes (October 13, 2011). Swiss Finance Institute Research Paper No. 11-46. Available at SSRN: http://ssrn.com/abstract=1945199 or http://dx.doi.org/10.2139/ssrn.1945199

Contact Information

Steven C. Bourassa (Contact Author)
Florida Atlantic University ( email )
777 Glades Road
Boca Raton, FL 33431
United States
5028077642 (Phone)
Eva Cantoni
University of Geneva ( email )
40, Boulevard du Pont-d'Arve
Genève, CH - 1205
Switzerland
Martin Edward Ralph Hoesli
University of Geneva - Graduate School of Business (HEC-Geneva) ( email )
40 Boulevard du Pont d'Arve
Geneva 4, 1211
Switzerland
+41 22 379 8122 (Phone)
+41 22 379 8104 (Fax)
University of Aberdeen - Business School ( email )
Edward Wright Building
Dunbar Street
Aberdeen, Scotland AB24 3QY
United Kingdom
+41 22 379 8122 (Phone)
+41 22 379 8104 (Fax)
Swiss Finance Institute ( email )
c/o University of Geneve
40, Bd du Pont-d'Arve
1211 Geneva, CH-6900
Switzerland

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