Hedonic Price Indices for the Paris Housing Market

24 Pages Posted: 30 Mar 2006 Last revised: 3 Nov 2011

See all articles by Raimond Maurer

Raimond Maurer

Goethe University Frankfurt - Finance Department

Martin Pitzer

Morgan Stanley

Steffen P. Sebastian

University of Regensburg - International Real Estate Business School (IREBS)

Date Written: November 3, 2011

Abstract

In this paper, we calculate a transaction-based price index for apartments in Paris (France). The heterogeneous character of real estate is taken into account using an hedonic model. The functional form is specified using a general Box-Cox function. The data basis covers 84,686 transactions of the housing market in 1990:01-1999:12, which is one of the largest samples ever used in comparable studies. Low correlations of the price index with stock and bond indices (first differences) indicate diversification benefits from the inclusion of real estate in a mixed asset portfolio.

Keywords: Real estate investments, hedonic, index construction, Box-Cox transformation

JEL Classification: JEL C43, C51, O18, R20

Suggested Citation

Maurer, Raimond and Pitzer, Martin and Sebastian, Steffen P., Hedonic Price Indices for the Paris Housing Market (November 3, 2011). Allgemeines Statistisches Archiv (Journal of the German Statistical Society), Forthcoming. Available at SSRN: https://ssrn.com/abstract=691242

Raimond Maurer (Contact Author)

Goethe University Frankfurt - Finance Department ( email )

Gr├╝neburgplatz 1
House of Finance
Frankfurt, 60323
Germany

Martin Pitzer

Morgan Stanley ( email )

1585 Broadway
New York, NY 10036
United States

Steffen P. Sebastian

University of Regensburg - International Real Estate Business School (IREBS) ( email )

Universitaetsstrasse 31
Regenburg, Bavaria 93040
Germany
+49(941)943-5081 (Phone)
+49(941)943-5082 (Fax)

HOME PAGE: http://www.irebs.de

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