Quantifying the Reversibility Phenomenon for the Repeat-Sales Index

36 Pages Posted: 5 Jan 2009 Last revised: 16 Oct 2009

See all articles by Arnaud Simon

Arnaud Simon

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

Date Written: December 30, 2008

Abstract

The reversibility phenomenon in the repeat-sales index (RSI) is a serious obstacle for derivatives products. This article provides a solution for this problem, using an informational reformulation of the RSI framework. A theoretical formula (simple, easy to interpret, and easy to handle) is presented. For the derivatives, the 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.

Suggested Citation

Simon, Arnaud, Quantifying the Reversibility Phenomenon for the Repeat-Sales Index (December 30, 2008). Journal of Real Estate Research, Vol. 31, No. 1, 2009, Available at SSRN: https://ssrn.com/abstract=1321866

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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