Faculty of Economics and Business Administration Publications Database

Hedonic Price Indices for the Paris Housing Market (Construction of a Transaction-Based Real Estate Index for the Paris Housing Market)

Pitzer, Martin
Sebastian, Steffen
Volume: 88
Number: 3
Pages: 303 - 326
Link External Source: Online Version
Year: 2004
Keywords: Real estate investments; Hedonic; Index construction; Box Cox transformation; Diversification

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.