Information and Repeat-Sales

58 Pages Posted: 21 Jul 2007

See all articles by Arnaud Simon

Arnaud Simon

Université Paris Dauphine - Centre de Recherches sur la Gestion (CEREG)

Date Written: July 20, 2007

Abstract

What is the informational structure of the repeat-sales index? In this article we answer it, deconstructing the global index in its building blocks. As by-products of this reformulation we establish very simple and intuitive formulas for the volatility of the index and the reversibility phenomenon. We study the formal link between the repeat-sales index and the price indexes (median, hedonic . . . ). We introduce a methodology of data analysis that improves greatly the extraction of the information embedded in a dataset. At last, we give some elements for a more general theory of the informational repeat-sales indexes.

Keywords: repeat-sales index, information, algorithmic decomposition, volatility, reversibility

Suggested Citation

Simon, Arnaud, Information and Repeat-Sales (July 20, 2007). Available at SSRN: https://ssrn.com/abstract=1001912 or http://dx.doi.org/10.2139/ssrn.1001912

Arnaud Simon (Contact Author)

Université Paris Dauphine - Centre de Recherches sur la Gestion (CEREG) ( email )

Paris Dauphine University
Place de Lattre de Tassigny
Paris, 75775
France

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