Essec\Faculty\Model\Profile {#2233
#_id: "B00000023"
#_source: array:40 [
"bid" => "B00000023"
"academId" => "2013"
"slug" => "baroni-michel"
"fullName" => "Michel BARONI"
"lastName" => "BARONI"
"firstName" => "Michel"
"title" => array:2 [
"fr" => "Professeur"
"en" => "Professor"
]
"email" => "baroni@essec.edu"
"status" => "ACTIF"
"campus" => "Campus de Cergy"
"departments" => []
"phone" => "+33 (0)1 34 43 30 02"
"sites" => []
"facNumber" => "2013"
"externalCvUrl" => "https://faculty.essec.edu/cv/baroni-michel/pdf"
"googleScholarUrl" => "https://scholar.google.com/citations?user=FNCP1XgAAAAJ"
"facOrcId" => "https://orcid.org/0000-0001-7462-7584"
"career" => array:5 [
0 => Essec\Faculty\Model\CareerItem {#2261
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "2000-01-01"
"endDate" => "2005-08-31"
"isInternalPosition" => true
"type" => array:2 [
"fr" => "Positions académiques principales"
"en" => "Full-time academic appointments"
]
"label" => array:2 [
"fr" => "Professeur assistant"
"en" => "Assistant Professor"
]
"institution" => array:2 [
"fr" => "ESSEC Business School"
"en" => "ESSEC Business School"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
1 => Essec\Faculty\Model\CareerItem {#2262
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "2005-09-01"
"endDate" => "2009-08-31"
"isInternalPosition" => true
"type" => array:2 [
"fr" => "Positions académiques principales"
"en" => "Full-time academic appointments"
]
"label" => array:2 [
"fr" => "Professeur associé"
"en" => "Associate Professor"
]
"institution" => array:2 [
"fr" => "ESSEC Business School"
"en" => "ESSEC Business School"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
2 => Essec\Faculty\Model\CareerItem {#2263
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "2009-09-01"
"endDate" => null
"isInternalPosition" => true
"type" => array:2 [
"fr" => "Positions académiques principales"
"en" => "Full-time academic appointments"
]
"label" => array:2 [
"fr" => "Professeur"
"en" => "Professor"
]
"institution" => array:2 [
"fr" => "ESSEC Business School"
"en" => "ESSEC Business School"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
3 => Essec\Faculty\Model\CareerItem {#2264
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "2018-03-10"
"endDate" => "2024-08-31"
"isInternalPosition" => true
"type" => array:2 [
"en" => "Other appointments"
"fr" => "Autres positions"
]
"label" => array:2 [
"fr" => "Doyen des professeurs"
"en" => "Dean of Faculty"
]
"institution" => array:2 [
"fr" => "ESSEC Business School"
"en" => "ESSEC Business School"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
4 => Essec\Faculty\Model\CareerItem {#2265
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "2024-12-01"
"endDate" => "2026-01-01"
"isInternalPosition" => true
"type" => array:2 [
"en" => "Other Academic Appointments"
"fr" => "Autres positions académiques"
]
"label" => array:2 [
"fr" => "Directeur académique du Mastère Management Immobilier"
"en" => "Academic director of the Mastère Management Immobilier"
]
"institution" => array:2 [
"fr" => "ESSEC Business School"
"en" => "ESSEC Business School"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
]
"diplomes" => array:6 [
0 => Essec\Faculty\Model\Diplome {#2235
#_index: null
#_id: null
#_source: array:6 [
"diplome" => "DIPLOMA"
"type" => array:2 [
"fr" => "Diplômes"
"en" => "Diplomas"
]
"year" => "2002"
"label" => array:2 [
"en" => "Doctorate in Management Sciences"
"fr" => "Doctorat en Sciences de gestion"
]
"institution" => array:2 [
"fr" => "Université Paris X Nanterre"
"en" => "Université Paris X Nanterre"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
1 => Essec\Faculty\Model\Diplome {#2237
#_index: null
#_id: null
#_source: array:6 [
"diplome" => "DIPLOMA"
"type" => array:2 [
"fr" => "Diplômes"
"en" => "Diplomas"
]
"year" => "2010"
"label" => array:2 [
"en" => "Habilité à Diriger des Recherches (HDR)"
"fr" => "Habilité à Diriger des Recherches (HDR)"
]
"institution" => array:2 [
"fr" => "Université Paris X Nanterre"
"en" => "Université Paris X Nanterre"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
2 => Essec\Faculty\Model\Diplome {#2234
#_index: null
#_id: null
#_source: array:6 [
"diplome" => "DIPLOMA"
"type" => array:2 [
"fr" => "Diplômes"
"en" => "Diplomas"
]
"year" => "1978"
"label" => array:2 [
"en" => "Diplôme d'Etudes Supérieures Economiques (DESE)"
"fr" => "Diplôme d'Etudes Supérieures Economiques (DESE)"
]
"institution" => array:2 [
"fr" => "Conservatoire National des Arts & Métiers (CNAM)"
"en" => "Conservatoire National des Arts & Métiers (CNAM)"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
3 => Essec\Faculty\Model\Diplome {#2238
#_index: null
#_id: null
#_source: array:6 [
"diplome" => "DIPLOMA"
"type" => array:2 [
"fr" => "Diplômes"
"en" => "Diplomas"
]
"year" => "1977"
"label" => array:2 [
"en" => "Diplôme d'Etudes Comptables Supérieures (DECS)"
"fr" => "Diplôme d'Etudes Comptables Supérieures (DECS)"
]
"institution" => array:2 [
"fr" => "Ministère de l'Education Nationale"
"en" => "Ministère de l'Education Nationale"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
4 => Essec\Faculty\Model\Diplome {#2232
#_index: null
#_id: null
#_source: array:6 [
"diplome" => "DIPLOMA"
"type" => array:2 [
"fr" => "Diplômes"
"en" => "Diplomas"
]
"year" => "1976"
"label" => array:2 [
"en" => "MSc of Science in Management"
"fr" => "MSc en Science de Gestion"
]
"institution" => array:2 [
"fr" => "HEC Paris"
"en" => "HEC Paris"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
5 => Essec\Faculty\Model\Diplome {#2236
#_index: null
#_id: null
#_source: array:6 [
"diplome" => "CERT"
"type" => array:2 [
"fr" => "Certificats"
"en" => "Certificates"
]
"year" => "1978"
"label" => array:2 [
"en" => "Certificat Supérieur d'Expertise Comptable "Relations économiques""
"fr" => "Certificat Supérieur d'Expertise Comptable "Relations économiques""
]
"institution" => array:2 [
"fr" => "Ministère de l'Education Nationale"
"en" => "Ministère de l'Education Nationale"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
]
"bio" => array:2 [
"fr" => "<p>Michel Baroni, HEC, docteur en gestion et habilité à diriger des recherches, est professeur à l'ESSEC dans le département finance. Il est actuellement doyen des professeurs et directeur académique du Master Management Immobilier. Il enseigne notamment la finance immobilière à l'ESSEC. Ses domaines de recherche sont la mesure du risque immobilier, les indices immobiliers, les produits dérivés et la gestion de portefeuilles immobiliers et il a publié de nombreux articles académiques dans le domaine de la finance immobilière Il est également Fellow de la Royal Institution of Chartered Surveyors (FRICS) et membre du Conseil Scientifique de Meilleurs Agents.</p>\n"
"en" => "<p>Michel Baroni, HEC, PhD in management and qualified to supervise research (French Habilitation à Diriger des Recherches), is a professor at ESSEC in the finance department. He is currently Dean of Professors and Academic Director of the Real Estate Management Master's program. He teaches real estate finance at ESSEC. His areas of research include real estate risk measurement, real estate indices, derivatives and real estate portfolio management, and he has published numerous academic articles in the field of real estate finance. He is also a Fellow of the Royal Institution of Chartered Surveyors (FRICS) and a member of the Scientific Advisory Board of Meilleurs Agents.</p>\n"
]
"department" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"site" => array:2 [
"fr" => ""
"en" => "https://www.linkedin.com/in/michel-baroni-5892753a/"
]
"industrrySectors" => array:2 [
"fr" => null
"en" => null
]
"researchFields" => array:2 [
"fr" => "Immobilier - les métiers de la finance - gestion d'actifs"
"en" => "Real Estate - Finance professions - asset management"
]
"teachingFields" => array:2 [
"fr" => "Immobilier - Investissements et évaluation des actifs - Finance d'entreprise"
"en" => "Real Estate - Investments & Asset Pricing - Corporate Finance"
]
"distinctions" => array:1 [
0 => Essec\Faculty\Model\Distinction {#2266
#_index: null
#_id: null
#_source: array:6 [
"date" => "2006-01-01"
"label" => array:2 [
"fr" => "Lauréat du Prix de la Fondation de l'American Real Estate Society (ARES) du Meilleur Article Présenté à la conférence ERES 2006 dans tout domaine de l'immobilier pour l'article intitulé "Optimal holding period for a Real Estate Portfolio" avec F. Barthélémy et M. Mokrane"
"en" => "Prize of the American Real Estate Society (ARES) Foundation for the Best Paper Presented at the ERES 2006 Conference in any area of Real Estate for the paper entitled "Optimal holding period for a Real Estate Portfolio" with F. Barthélémy and M. Mokrane"
]
"type" => array:2 [
"fr" => "Prix"
"en" => "Awards"
]
"tri" => " 1 "
"institution" => array:2 [
"fr" => null
"en" => null
]
"country" => array:2 [
"fr" => null
"en" => null
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
]
"teaching" => array:13 [
0 => Essec\Faculty\Model\TeachingItem {#2260
#_index: null
#_id: null
#_source: array:7 [
"startDate" => null
"endDate" => null
"program" => null
"label" => array:2 [
"fr" => """
Mécanismes d'appariement et de formation des prix sur le marché immobilier\n
Trois études empiriques basées sur les données d'une plateforme numérique
"""
"en" => """
Mécanismes d'appariement et de formation des prix sur le marché immobilier\n
Trois études empiriques basées sur les données d'une plateforme numérique
"""
]
"type" => array:2 [
"fr" => "Co-directeur de thèse"
"en" => "Thesis co-director"
]
"institution" => array:2 [
"fr" => "Université Cergy-Pontoise"
"en" => "Université Cergy-Pontoise"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "fr"
}
1 => Essec\Faculty\Model\TeachingItem {#2248
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "2002"
"endDate" => "2020"
"program" => "Grande Ecole - Master in Management"
"label" => array:2 [
"fr" => "Finance immobilière"
"en" => "Finance immobilière"
]
"type" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"institution" => array:2 [
"fr" => "ESSEC Business School"
"en" => "ESSEC Business School"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "fr"
}
2 => Essec\Faculty\Model\TeachingItem {#2250
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "2000"
"endDate" => "2020"
"program" => "Master Management Immobilier"
"label" => array:2 [
"fr" => "Finance immobilière"
"en" => "Finance immobilière"
]
"type" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"institution" => array:2 [
"fr" => "ESSEC Business School"
"en" => "ESSEC Business School"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "fr"
}
3 => Essec\Faculty\Model\TeachingItem {#2259
#_index: null
#_id: null
#_source: array:7 [
"startDate" => null
"endDate" => "2019"
"program" => null
"label" => array:2 [
"fr" => "European office market and economic environment: essays on the reactions and interactions"
"en" => "European office market and economic environment: essays on the reactions and interactions"
]
"type" => array:2 [
"fr" => "Membre de jury"
"en" => "Thesis jury member"
]
"institution" => array:2 [
"fr" => "Université Paris-Dauphine, PSL"
"en" => "Université Paris-Dauphine, PSL"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "fr"
}
4 => Essec\Faculty\Model\TeachingItem {#2258
#_index: null
#_id: null
#_source: array:7 [
"startDate" => null
"endDate" => "2018"
"program" => null
"label" => array:2 [
"fr" => "Prix et rendements de l'immobilier résidentiel en France : effets démographiques et investissement dans la Métropole Parisienne"
"en" => "Prix et rendements de l'immobilier résidentiel en France : effets démographiques et investissement dans la Métropole Parisienne"
]
"type" => array:2 [
"fr" => "Président de jury"
"en" => "Thesis jury president"
]
"institution" => array:2 [
"fr" => "Université Paris-Dauphine, PSL"
"en" => "Université Paris-Dauphine, PSL"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "fr"
}
5 => Essec\Faculty\Model\TeachingItem {#2249
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "2000"
"endDate" => "2018"
"program" => "Grande Ecole - Master in Management"
"label" => array:2 [
"fr" => "Politique financière"
"en" => "Politique financière"
]
"type" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"institution" => array:2 [
"fr" => "ESSEC Business School"
"en" => "ESSEC Business School"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "fr"
}
6 => Essec\Faculty\Model\TeachingItem {#2257
#_index: null
#_id: null
#_source: array:7 [
"startDate" => null
"endDate" => "2015"
"program" => null
"label" => array:2 [
"fr" => "Une nouvelle ère pour l’intermédiation en immobilier résidentiel : fondements, digitalisation et limites"
"en" => "Une nouvelle ère pour l’intermédiation en immobilier résidentiel : fondements, digitalisation et limites"
]
"type" => array:2 [
"fr" => "Rapporteur"
"en" => "Thesis referee"
]
"institution" => array:2 [
"fr" => "Université Paris-Dauphine, PSL"
"en" => "Université Paris-Dauphine, PSL"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "fr"
}
7 => Essec\Faculty\Model\TeachingItem {#2254
#_index: null
#_id: null
#_source: array:7 [
"startDate" => null
"endDate" => "2014"
"program" => null
"label" => array:2 [
"fr" => "Trois essais sur les investissements immobiliers directs et indirects"
"en" => "Trois essais sur les investissements immobiliers directs et indirects"
]
"type" => array:2 [
"fr" => "Rapporteur"
"en" => "Thesis referee"
]
"institution" => array:2 [
"fr" => "Université Paris 1 Panthéon-Sorbonne"
"en" => "Université Paris 1 Panthéon-Sorbonne"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "fr"
}
8 => Essec\Faculty\Model\TeachingItem {#2256
#_index: null
#_id: null
#_source: array:7 [
"startDate" => null
"endDate" => "2013"
"program" => null
"label" => array:2 [
"fr" => """
Le contenu informationnel des réserves pétrolières :\n
pertinence des actifs spécifiques mesurée par le modèle d'Ohlson
"""
"en" => """
Le contenu informationnel des réserves pétrolières :\n
pertinence des actifs spécifiques mesurée par le modèle d'Ohlson
"""
]
"type" => array:2 [
"fr" => "Rapporteur"
"en" => "Thesis referee"
]
"institution" => array:2 [
"fr" => "Université Paris X Nanterre"
"en" => "Université Paris X Nanterre"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "fr"
}
9 => Essec\Faculty\Model\TeachingItem {#2251
#_index: null
#_id: null
#_source: array:7 [
"startDate" => null
"endDate" => "2012"
"program" => null
"label" => array:2 [
"fr" => "Produits Dérivés et Actifs Immobiliers: Etude de Faisabilité des Méthodes de Couverture Factorielle"
"en" => "Produits Dérivés et Actifs Immobiliers: Etude de Faisabilité des Méthodes de Couverture Factorielle"
]
"type" => array:2 [
"fr" => "Co-directeur de thèse"
"en" => "Thesis co-director"
]
"institution" => array:2 [
"fr" => "Université Paris X Nanterre"
"en" => "Université Paris X Nanterre"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "fr"
}
10 => Essec\Faculty\Model\TeachingItem {#2252
#_index: null
#_id: null
#_source: array:7 [
"startDate" => null
"endDate" => "2012"
"program" => null
"label" => array:2 [
"fr" => "Perception par les acteurs de marché de la fonction d'utilité liée à l'immobilier d'entreprise"
"en" => "Perception par les acteurs de marché de la fonction d'utilité liée à l'immobilier d'entreprise"
]
"type" => array:2 [
"fr" => "Rapporteur"
"en" => "Thesis referee"
]
"institution" => array:2 [
"fr" => "Université Paris X Nanterre"
"en" => "Université Paris X Nanterre"
]
"country" => array:2 [
"fr" => null
"en" => null
]
]
+lang: "fr"
}
11 => Essec\Faculty\Model\TeachingItem {#2253
#_index: null
#_id: null
#_source: array:7 [
"startDate" => null
"endDate" => "2012"
"program" => null
"label" => array:2 [
"fr" => """
Finance immobilière\n
Essais sur la gestion de portefeuille\n
et des risques
"""
"en" => """
Finance immobilière\n
Essais sur la gestion de portefeuille\n
et des risques
"""
]
"type" => array:2 [
"fr" => "Membre de jury"
"en" => "Thesis jury member"
]
"institution" => array:2 [
"fr" => "Université Cergy-Pontoise"
"en" => "Université Cergy-Pontoise"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "fr"
}
12 => Essec\Faculty\Model\TeachingItem {#2255
#_index: null
#_id: null
#_source: array:7 [
"startDate" => null
"endDate" => "2012"
"program" => null
"label" => array:2 [
"fr" => """
Caractéristiques statistiques et dynamique de prix\n
des produits dérivés immobiliers
"""
"en" => """
Caractéristiques statistiques et dynamique de prix\n
des produits dérivés immobiliers
"""
]
"type" => array:2 [
"fr" => "Rapporteur"
"en" => "Thesis referee"
]
"institution" => array:2 [
"fr" => "Université Paris-Dauphine, PSL"
"en" => "Université Paris-Dauphine, PSL"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "fr"
}
]
"otherActivities" => array:9 [
0 => Essec\Faculty\Model\ExtraActivity {#2239
#_index: null
#_id: null
#_source: array:9 [
"startDate" => "1980-01-01"
"endDate" => null
"year" => null
"uuid" => "501"
"type" => array:2 [
"fr" => "Activités professionnelles"
"en" => "Professional activities"
]
"subType" => array:2 [
"fr" => "Membre d'une association professionnelle, d'un groupe d'experts ou d'un conseil d'administration"
"en" => "Member of a professional association, of an expert group or of a board of directors"
]
"label" => array:2 [
"fr" => "Gestionnaire de SICE, une société d'investissement immobilier"
"en" => "Manager of SICE, a real estate investment company"
]
"institution" => array:2 [
"fr" => null
"en" => null
]
"country" => array:2 [
"fr" => null
"en" => null
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
1 => Essec\Faculty\Model\ExtraActivity {#2240
#_index: null
#_id: null
#_source: array:9 [
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"en" => "Administrator for Chaudronnerie Provençale SA (Aix-en-Provence)"
]
"institution" => array:2 [
"fr" => null
"en" => null
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
2 => Essec\Faculty\Model\ExtraActivity {#2241
#_index: null
#_id: null
#_source: array:9 [
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"fr" => "Administrateur pour l'Institut Européen de Coopération et de Développement (IECD) à Strasbourg"
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"fr" => null
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]
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]
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}
3 => Essec\Faculty\Model\ExtraActivity {#2242
#_index: null
#_id: null
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]
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]
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}
4 => Essec\Faculty\Model\ExtraActivity {#2243
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}
5 => Essec\Faculty\Model\ExtraActivity {#2244
#_index: null
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}
6 => Essec\Faculty\Model\ExtraActivity {#2245
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]
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"fr" => null
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}
7 => Essec\Faculty\Model\ExtraActivity {#2246
#_index: null
#_id: null
#_source: array:9 [
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"en" => "Editorial board membership - Journal of Real Estate Finance and Economics"
]
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}
8 => Essec\Faculty\Model\ExtraActivity {#2247
#_index: null
#_id: null
#_source: array:9 [
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"uuid" => "103"
"type" => array:2 [
"fr" => "Activités de recherche"
"en" => "Research activities"
]
"subType" => array:2 [
"fr" => "Membre d'un comité de lecture"
"en" => "Editorial Board Membership"
]
"label" => array:2 [
"fr" => "Membre du comité de lecture - Zeitschrift für Immobilienökonomie"
"en" => "Editorial board membership - Zeitschrift für Immobilienökonomie"
]
"institution" => array:2 [
"fr" => null
"en" => null
]
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"fr" => null
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]
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}
]
"theses" => array:10 [
0 => Essec\Faculty\Model\These {#2267
#_index: null
#_id: null
#_source: array:9 [
"year" => "2012"
"startDate" => null
"endDate" => "2012"
"student" => "AMEDEE-MANESME C.-O."
"firstJob" => ""
"label" => array:2 [
"fr" => """
Finance immobilière\n
Essais sur la gestion de portefeuille\n
et des risques
"""
"en" => """
Real Estate Finance\n
Essays in Portfolio and Risk Management
"""
]
"role" => array:2 [
"fr" => "Membre de jury"
"en" => "Thesis jury member"
]
"institution" => array:2 [
"fr" => "Université Cergy-Pontoise"
"en" => "Université Cergy-Pontoise"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
1 => Essec\Faculty\Model\These {#2268
#_index: null
#_id: null
#_source: array:9 [
"year" => "2013"
"startDate" => null
"endDate" => "2013"
"student" => "BLUM V."
"firstJob" => ""
"label" => array:2 [
"fr" => """
Le contenu informationnel des réserves pétrolières :\n
pertinence des actifs spécifiques mesurée par le modèle d'Ohlson
"""
"en" => """
The informative content of oil reserves: \n
specific assets' reliability measured by the Ohlson's model
"""
]
"role" => array:2 [
"fr" => "Rapporteur"
"en" => "Thesis referee"
]
"institution" => array:2 [
"fr" => "Université Paris X Nanterre"
"en" => "Université Paris X Nanterre"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
2 => Essec\Faculty\Model\These {#2269
#_index: null
#_id: null
#_source: array:9 [
"year" => "2012"
"startDate" => null
"endDate" => "2012"
"student" => "DROUIN P.-A."
"firstJob" => ""
"label" => array:2 [
"fr" => """
Caractéristiques statistiques et dynamique de prix\n
des produits dérivés immobiliers
"""
"en" => """
Caractéristiques statistiques et dynamique de prix\n
des produits dérivés immobiliers
"""
]
"role" => array:2 [
"fr" => "Rapporteur"
"en" => "Thesis referee"
]
"institution" => array:2 [
"fr" => "Université Paris-Dauphine, PSL"
"en" => "Université Paris-Dauphine, PSL"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
3 => Essec\Faculty\Model\These {#2270
#_index: null
#_id: null
#_source: array:9 [
"year" => "2018"
"startDate" => null
"endDate" => "2018"
"student" => "ESSAFI ZOUARI Y."
"firstJob" => ""
"label" => array:2 [
"fr" => "Prix et rendements de l'immobilier résidentiel en France : effets démographiques et investissement dans la Métropole Parisienne"
"en" => "Prix et rendements de l'immobilier résidentiel en France : effets démographiques et investissement dans la Métropole Parisienne"
]
"role" => array:2 [
"fr" => "Président de jury"
"en" => "Thesis jury president"
]
"institution" => array:2 [
"fr" => "Université Paris-Dauphine, PSL"
"en" => "Université Paris-Dauphine, PSL"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
4 => Essec\Faculty\Model\These {#2271
#_index: null
#_id: null
#_source: array:9 [
"year" => "2012"
"startDate" => null
"endDate" => "2012"
"student" => "LECOMTE P."
"firstJob" => ""
"label" => array:2 [
"fr" => "Produits Dérivés et Actifs Immobiliers: Etude de Faisabilité des Méthodes de Couverture Factorielle"
"en" => "Derivative Instruments and Real Estate Assets: A Feasibility Study of Factor Hedges"
]
"role" => array:2 [
"fr" => "Co-directeur de thèse"
"en" => "Thesis co-director"
]
"institution" => array:2 [
"fr" => "Université Paris X Nanterre"
"en" => "Université Paris X Nanterre"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
5 => Essec\Faculty\Model\These {#2272
#_index: null
#_id: null
#_source: array:9 [
"year" => "2019"
"startDate" => null
"endDate" => "2019"
"student" => "LEFEBVRE B."
"firstJob" => ""
"label" => array:2 [
"fr" => "European office market and economic environment: essays on the reactions and interactions"
"en" => "European office market and economic environment: essays on the reactions and interactions"
]
"role" => array:2 [
"fr" => "Membre de jury"
"en" => "Thesis jury member"
]
"institution" => array:2 [
"fr" => "Université Paris-Dauphine, PSL"
"en" => "Université Paris-Dauphine, PSL"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
6 => Essec\Faculty\Model\These {#2273
#_index: null
#_id: null
#_source: array:9 [
"year" => "2015"
"startDate" => null
"endDate" => "2015"
"student" => "LEFEBVRE T."
"firstJob" => ""
"label" => array:2 [
"fr" => "Une nouvelle ère pour l’intermédiation en immobilier résidentiel : fondements, digitalisation et limites"
"en" => "Une nouvelle ère pour l’intermédiation en immobilier résidentiel : fondements, digitalisation et limites"
]
"role" => array:2 [
"fr" => "Rapporteur"
"en" => "Thesis referee"
]
"institution" => array:2 [
"fr" => "Université Paris-Dauphine, PSL"
"en" => "Université Paris-Dauphine, PSL"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
7 => Essec\Faculty\Model\These {#2274
#_index: null
#_id: null
#_source: array:9 [
"year" => "2012"
"startDate" => null
"endDate" => "2012"
"student" => "PETEL F."
"firstJob" => ""
"label" => array:2 [
"fr" => "Perception par les acteurs de marché de la fonction d'utilité liée à l'immobilier d'entreprise"
"en" => "Perception par les acteurs de marché de la fonction d'utilité liée à l'immobilier d'entreprise"
]
"role" => array:2 [
"fr" => "Rapporteur"
"en" => "Thesis referee"
]
"institution" => array:2 [
"fr" => "Université Paris X Nanterre"
"en" => "Université Paris X Nanterre"
]
"country" => array:2 [
"fr" => null
"en" => null
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
8 => Essec\Faculty\Model\These {#2275
#_index: null
#_id: null
#_source: array:9 [
"year" => "2014"
"startDate" => null
"endDate" => "2014"
"student" => "SAKKA E."
"firstJob" => ""
"label" => array:2 [
"fr" => "Trois essais sur les investissements immobiliers directs et indirects"
"en" => "Three essays on direct and indirect real estate investments"
]
"role" => array:2 [
"fr" => "Rapporteur"
"en" => "Thesis referee"
]
"institution" => array:2 [
"fr" => "Université Paris 1 Panthéon-Sorbonne"
"en" => "Université Paris 1 Panthéon-Sorbonne"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
9 => Essec\Faculty\Model\These {#2276
#_index: null
#_id: null
#_source: array:9 [
"year" => null
"startDate" => null
"endDate" => null
"student" => "VIDAL P."
"firstJob" => ""
"label" => array:2 [
"fr" => """
Mécanismes d'appariement et de formation des prix sur le marché immobilier\n
Trois études empiriques basées sur les données d'une plateforme numérique
"""
"en" => """
Mécanismes d'appariement et de formation des prix sur le marché immobilier\n
Trois études empiriques basées sur les données d'une plateforme numérique
"""
]
"role" => array:2 [
"fr" => "Co-directeur de thèse"
"en" => "Thesis co-director"
]
"institution" => array:2 [
"fr" => "Université Cergy-Pontoise"
"en" => "Université Cergy-Pontoise"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
]
"indexedAt" => "2024-11-21T11:21:22.000Z"
"contributions" => array:46 [
0 => Essec\Faculty\Model\Contribution {#2278
#_index: "academ_contributions"
#_id: "2160"
#_source: array:18 [
"id" => "2160"
"slug" => "optimal-holding-period-for-a-real-estate-porfolio"
"yearMonth" => "2007-01"
"year" => "2007"
"title" => "Optimal Holding Period for a Real Estate Porfolio"
"description" => "BARONI, M., BARTHELEMY, F. et MOKRANE, M. (2007). Optimal Holding Period for a Real Estate Porfolio. <i>Journal of Property Investment and Finance</i>, pp. 603-625."
"authors" => array:3 [
0 => array:3 [
"name" => "BARONI Michel"
"bid" => "B00000023"
"slug" => "baroni-michel"
]
1 => array:2 [
"name" => "BARTHELEMY Fabrice"
"bid" => "B00006901"
]
2 => array:1 [
"name" => "MOKRANE M."
]
]
"ouvrage" => ""
"keywords" => array:4 [
0 => "Analyse de sensibilité"
1 => "Cash-flows actualisés"
2 => "Evaluation immobilière"
3 => "Valeur de marché, Immobilier"
]
"updatedAt" => "2021-07-13 14:30:44"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "603-625"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "L'article montre que le modèle standard des DCF n'est pas adapté pour faire ressortir l'existence d'une durée optimale de détention pour les portefeuilles immobiliers. Un modèle alternatif est proposé en calculant la valeur terminale en utilisant un processus de diffusion. Les conclusions de l'article montrent que l'on peut déterminer des périodes de détention optimales pour les portefeuilles immobiliers dans des conditions très précises qui sont fonction du coût du capital de l'investisseur, du rendement initial du portefeuille et du taux de croissance des cash flows."
"en" => "The article shows that a standard DCF modelling framework is not adapted to offer sufficient insight into the mechanics leading to optimal holding periods for real estate portfolios. A richer framework is offered that enables the portfolios terminal value to behave according to a simple diffusion process. The findings of the article show that optimal holding periods for real estate investment portfolios exist within very precise conditions, which are determined by the investor's cost of capital, the portfolio's net initial yield and the cash flow growth rate."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d'Information, Data Analytics et Opérations"
"en" => "Information Systems, Data Analytics and Operations"
]
"indexedAt" => "2024-11-21T11:21:49.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.166562
+"parent": null
}
1 => Essec\Faculty\Model\Contribution {#2280
#_index: "academ_contributions"
#_id: "6649"
#_source: array:18 [
"id" => "6649"
"slug" => "market-heterogeneity-and-determinants-of-paris-apartment-prices-a-quantile-regression-approach"
"yearMonth" => "2013-07"
"year" => "2013"
"title" => "Market Heterogeneity and Determinants of Paris Apartment Prices: A Quantile Regression Approach"
"description" => "BARONI, M. (2013). Market Heterogeneity and Determinants of Paris Apartment Prices: A Quantile Regression Approach. Dans: 20th Annual Conference of the European Real Estate Society."
"authors" => array:1 [
0 => array:3 [
"name" => "BARONI Michel"
"bid" => "B00000023"
"slug" => "baroni-michel"
]
]
"ouvrage" => "20th Annual Conference of the European Real Estate Society"
"keywords" => []
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T11:21:49.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.166562
+"parent": null
}
2 => Essec\Faculty\Model\Contribution {#2282
#_index: "academ_contributions"
#_id: "6650"
#_source: array:18 [
"id" => "6650"
"slug" => "market-heterogeneity-and-investment-risk"
"yearMonth" => "2014-06"
"year" => "2014"
"title" => "Market Heterogeneity and Investment Risk"
"description" => "BARONI, M. (2014). Market Heterogeneity and Investment Risk. Dans: European Real Estate Society 21st Annual Conference."
"authors" => array:1 [
0 => array:3 [
"name" => "BARONI Michel"
"bid" => "B00000023"
"slug" => "baroni-michel"
]
]
"ouvrage" => "European Real Estate Society 21st Annual Conference"
"keywords" => []
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T11:21:49.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.166562
+"parent": null
}
3 => Essec\Faculty\Model\Contribution {#2279
#_index: "academ_contributions"
#_id: "6831"
#_source: array:18 [
"id" => "6831"
"slug" => "optimum-time-to-sell-a-real-estate-portfolio-given-the-break-options-included-in-its-lease-structure"
"yearMonth" => "2012-04"
"year" => "2012"
"title" => "Optimum Time to Sell a Real Estate Portfolio Given the Break-Options Included in its Lease Structure"
"description" => "BARONI, M. (2012). Optimum Time to Sell a Real Estate Portfolio Given the Break-Options Included in its Lease Structure. Dans: 28th Annual American Real Estate Society Meeting."
"authors" => array:1 [
0 => array:3 [
"name" => "BARONI Michel"
"bid" => "B00000023"
"slug" => "baroni-michel"
]
]
"ouvrage" => "28th Annual American Real Estate Society Meeting"
"keywords" => []
"updatedAt" => "2021-07-13 14:31:10"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T11:21:49.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.166562
+"parent": null
}
4 => Essec\Faculty\Model\Contribution {#2283
#_index: "academ_contributions"
#_id: "2373"
#_source: array:18 [
"id" => "2373"
"slug" => "real-estate-prices-a-paris-repeat-sales-residential-index"
"yearMonth" => "2005-01"
"year" => "2005"
"title" => "Real Estate Prices: A Paris Repeat Sales Residential Index"
"description" => "BARONI, M., BARTHELEMY, F. et MOKRANE, M. (2005). Real Estate Prices: A Paris Repeat Sales Residential Index. <i>Journal of Real Estate Literature</i>, pp. 303-321."
"authors" => array:3 [
0 => array:3 [
"name" => "BARONI Michel"
"bid" => "B00000023"
"slug" => "baroni-michel"
]
1 => array:2 [
"name" => "BARTHELEMY Fabrice"
"bid" => "B00006901"
]
2 => array:1 [
"name" => "MOKRANE M."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 17:55:06"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "303-321"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Ce papier présente la méthodologie de construction d'indice par ventes répétées développée par Case & Shiller (1987) et appliquée au marché résidentiel parisien, en utilisant les données CD-Bien sur la période 1973-2001. Cet indice fondé sur des rendements en capital est comparé à l'indice Notaires-INSEE. La sensibilité de l'indice à la période de temps choisie est testée et l'estimation apparaît comme robuste quant au choix de la période."
"en" => "In this paper, the repeat sales index methodology developed by Case and Shiller (1987) is presented and applied to the Paris residential market, using the CD-BIEN database over the 1973-2001 period. This index based on price returns is compared to the Notaires/INSEE index. The index sensitivity to the time period is tested and the index estimation is quite robust whatever the period."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d'Information, Data Analytics et Opérations"
"en" => "Information Systems, Data Analytics and Operations"
]
"indexedAt" => "2024-11-21T11:21:49.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.166562
+"parent": null
}
5 => Essec\Faculty\Model\Contribution {#2277
#_index: "academ_contributions"
#_id: "2672"
#_source: array:18 [
"id" => "2672"
"slug" => "the-impact-of-lease-structures-on-the-optimal-holding-period-for-a-commercial-real-estate-portfolio"
"yearMonth" => "2015-02"
"year" => "2015"
"title" => "The Impact of Lease Structures on the Optimal Holding Period For a Commercial Real Estate Portfolio"
"description" => "AMEDEE-MANESME, C.O., BARONI, M., BARTHELEMY, F. et MOKRANE, M. (2015). The Impact of Lease Structures on the Optimal Holding Period For a Commercial Real Estate Portfolio. <i>Journal of Property Investment and Finance</i>, 33(2), pp. 121-139."
"authors" => array:4 [
0 => array:3 [
"name" => "BARONI Michel"
"bid" => "B00000023"
"slug" => "baroni-michel"
]
1 => array:2 [
"name" => "BARTHELEMY Fabrice"
"bid" => "B00006901"
]
2 => array:1 [
"name" => "AMEDEE-MANESME Charles-Olivier"
]
3 => array:1 [
"name" => "MOKRANE Mahdi"
]
]
"ouvrage" => ""
"keywords" => array:4 [
0 => "Durée de détention optimale"
1 => "Gestion de portefeuille"
2 => "Immobilier"
3 => "Simulation"
]
"updatedAt" => "2021-07-13 14:30:59"
"publicationUrl" => "http://dx.doi.org/10.2139/ssrn.2503408"
"publicationInfo" => array:3 [
"pages" => "121-139"
"volume" => "33"
"number" => "2"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => """
L’objectif de cet article est de montrer les impacts de la durée du bail et des options de sortie sur la durée optimale de détention d’un actif ou d’un portefeuille immobilier.\n
Des méthodes de simulation de Monte-Carlo sont utilisées pour simuler les cash-flows engendrés par un actif immobilier en prenant en compte la structure des baux (montant du loyer, règles d’indexations, durée totale du bail et options de sortie). Nous faisons l’hypothèse que le locataire exercera son option de départ si le loyer payé est plus élevé que le loyer de marché d’un bien similaire. Nous représentons aussi la durée de vacance par un modèle stochastique en utilisant une loi de Poisson.\n
Les valeurs en capital du bien ainsi que les loyers de marché sont simulés en utilisant des processus stochastiques spécifiques et en prenant en compte leurs corrélations. Nous considérons que la durée de détention optimale d’un actif est atteinte lorsque la valeur actualisée du bien (correspondant à la somme des cash flows libres actualisés et de la valeur terminale actualisée) est maximale.\n
Il est démontré qu’en cohérence avec la littérature des marchés financiers et la pratique professionnelle en immobilier, les options de sortie dans les baux peuvent altérer substantiellement les durées de détention optimales des actifs immobiliers et par extension des portefeuilles immobiliers. Nous montrons aussi que toutes choses étant égales par ailleurs, lorsque les durées des baux sont plus courtes, ou la volatilité des loyers de marché plus élevée (accroissant la réversion négative du loyer), ou la durée de vacance plus longue, ou encore des options de sorties négatives, la durée de détention optimale d’un actif a tendance à décroître.
"""
"en" => """
The purpose of this article is to demonstrate the impact of lease duration and lease break options on the optimal holding period for a real estate asset or portfolio. \n
The authors use a Monte Carlo simulation framework to simulate a real estate asset’s cash flows in which lease structures (rent, indexation pattern, overall lease duration and break options) are explicitly taken into account. The authors assume that a tenant exercises his/her option to break a lease if the rent paid is higher than the market rental value (MRV) of similar properties. The authors also model vacancy duration stochastically. Finally, capital values and MRVs, assumed to be correlated, are simulated using specific stochastic processes. The authors derive the optimal holding period for the asset as the value that maximizes its discounted value.\n
The authors demonstrate that, consistent with existing capital markets literature and real estate business practice, break options in leases can dramatically alter optimal holding periods for real estate assets and, by extension, portfolios. The paper shows that, everything else being equal,\n
shorter lease durations, higher MRV volatility, increasing negative rental reversion, higher vacancy duration, more break options, all tend to decrease the optimal holding period of a real estate asset.
"""
]
"authors_fields" => array:2 [
"fr" => "Systèmes d'Information, Data Analytics et Opérations"
"en" => "Information Systems, Data Analytics and Operations"
]
"indexedAt" => "2024-11-21T11:21:49.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.166562
+"parent": null
}
6 => Essec\Faculty\Model\Contribution {#2281
#_index: "academ_contributions"
#_id: "2792"
#_source: array:18 [
"id" => "2792"
"slug" => "un-nouvel-indice-de-risque-immobilier-pour-le-marche-residentiel-parisien"
"yearMonth" => "2008-01"
"year" => "2008"
"title" => "Un nouvel indice de risque immobilier pour le marché résidentiel parisien"
"description" => "BARONI, M., BARTHELEMY, F. et MOKRANE, M. (2008). Un nouvel indice de risque immobilier pour le marché résidentiel parisien. <i>Revue Economique</i>, 59(1), pp. 99-118."
"authors" => array:3 [
0 => array:3 [
"name" => "BARONI Michel"
"bid" => "B00000023"
"slug" => "baroni-michel"
]
1 => array:2 [
"name" => "BARTHELEMY Fabrice"
"bid" => "B00006901"
]
2 => array:1 [
"name" => "MOKRANE M."
]
]
"ouvrage" => ""
"keywords" => array:4 [
0 => "Facteurs de risque"
1 => "Indices immobiliers"
2 => "Risque immobilier"
3 => "Ventes répétées"
]
"updatedAt" => "2020-12-17 17:55:06"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "99-118"
"volume" => "59"
"number" => "1"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Dans cet article, nous cherchons à mettre en lumière les facteurs directeurs de l'évolution du marché immobilier d'habitation de la région parisienne. Pour ce faire, nous utilisons une base de données comprenant près de 276 000 transactions de biens immobiliers d'habitation en région parisienne sur la période 1982-2005. Nous élaborons un modèle factoriel qui permet d'appréhender le lien systématique entre le prix des biens immobiliers d¿habitation et un jeu de variables économiques pré-définies ou une combinaison de ces variables. Nous faisons l'hypothèse que les taux de croissance des prix immobiliers sont liés à ceux des variables choisies. Puis nous mesurons ce lien, qui met en exergue les «fondamentaux » du marché immobilier. La méthodologie que nous utilisons pour construire un indice, fondée sur une approche multi-factorielle, présente deux avantages principaux sur les indices immobiliers existants. En premier lieu, elle permet d¿identifier les facteurs explicatifs de l"évolution des prix de l'immobilier d'habitation à Paris. En tant que facteurs systématiques, ils représentent l¿évolution fondamentale du marché et peuvent mettre en lumière des comportements spéculatifs en période de crise. En second lieu, ces facteurs peuvent être utilisés pour élaborer un modèle factoriel dont les résultats peuvent être comparés aux indices existants, et qui peut aboutir à des prévisions pour l'évolution des prix de l'immobilier d'habitation."
"en" => "In this article we investigate the driving factors associated with the Paris apartment market in order to propose a new index. We explore a database of around 276 000 transactions for residential properties in the Paris area over the 1982 ¿ 2005 period. We develop a factorial model that may capture the systematic link between residential prices and a set of predefined economic variables or their linear combination. We assume that price growth rates are related to the variables we chose. We measure this link which underlines the ¿true path¿ of the real estate market in the sense that systematic factors can represent it. The methodology we develop to construct an index, based on a multifactor approach to apartment price movements in the long run, has two main advantages over traditional indices. Firstly, we are able to identify the main driving factors for the Paris residential market. As systematic factors they are able to represent the fundamental market evolution and allow the detection of a speculative behaviour during crisis periods. And secondly, the factors thus derived can be used to generate a "factor model" useful in comparison to existing price growth indices and that may provide valuable intuition for forecasting residential prices."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d'Information, Data Analytics et Opérations"
"en" => "Information Systems, Data Analytics and Operations"
]
"indexedAt" => "2024-11-21T11:21:49.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.166562
+"parent": null
}
7 => Essec\Faculty\Model\Contribution {#2284
#_index: "academ_contributions"
#_id: "2829"
#_source: array:18 [
"id" => "2829"
"slug" => "using-rents-and-price-dynamics-in-real-estate-portfolio-valuation"
"yearMonth" => "2007-01"
"year" => "2007"
"title" => "Using Rents and Price Dynamics in Real Estate Portfolio Valuation"
"description" => "BARONI, M., BARTHELEMY, F. et MOKRANE, M. (2007). Using Rents and Price Dynamics in Real Estate Portfolio Valuation. <i>Property Management</i>, pp. 462-486."
"authors" => array:3 [
0 => array:3 [
"name" => "BARONI Michel"
"bid" => "B00000023"
"slug" => "baroni-michel"
]
1 => array:2 [
"name" => "BARTHELEMY Fabrice"
"bid" => "B00006901"
]
2 => array:1 [
"name" => "MOKRANE M."
]
]
"ouvrage" => ""
"keywords" => array:4 [
0 => "Evaluation immobilière"
1 => "Indices immobiliers"
2 => "Simulation de Monte-Carlo"
3 => "Valeur terminale"
]
"updatedAt" => "2020-12-17 17:55:06"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "462-486"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Cet article présente la façon d'utiliser des cash-flows simulés pour évaluer des actifs immobiliers réels. Nous montrons que l'on peut utiliser des méthodes de simulation de Monte-Carlo pour déterminer la valeur d'actifs immobiliers dont la génération de cash-flows est complexe. Les données principales de la simulation telles que l'estimation de la volatilité du prix des actifs réels, proviennent des résultats établis lors de l'élaboration d'un indice immobilier pour Paris, dans un article de Baroni, Barthélémy et Mokrane (2005). Etablis à partir d'un exemple de portefeuille immobilier, les cash-flows simulés permettent (i) d'élaborer des évaluations plus robustes que les évaluations traditionnelles résultant de méthodes de DCF, (ii) d'estimer la distribution du prix du portefeuille sur des horizons de détention variés (iii) et de calculer aisément des Values-at-Risk (VaR)."
"en" => "This article considers the use of simulated cash flows to value assets and options in assets in real estate investment. We employ Monte Carlo simulation methods for the measurement of complex cash generating assets such as real estate assets return distribution. Important simulation inputs, such as the physical real estate price volatility estimator, are provided by results on real estate indices for Paris derived in an article by Baroni, Barthélémy and Mokrane (2005). Based on a residential real estate portfolio example, simulated cash flows (i) provide more robust valuations than traditional DCF valuations, (ii) permit the user to estimate the portfolio¿s price distribution for any time horizon, and (iii) permit easy Values-at-Risk (VaR) computations."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d'Information, Data Analytics et Opérations"
"en" => "Information Systems, Data Analytics and Operations"
]
"indexedAt" => "2024-11-21T11:21:49.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.166562
+"parent": null
}
8 => Essec\Faculty\Model\Contribution {#2285
#_index: "academ_contributions"
#_id: "9398"
#_source: array:18 [
"id" => "9398"
"slug" => "hdr"
"yearMonth" => "2010-06"
"year" => "2010"
"title" => "HDR"
"description" => "BARONI, M. (2010). HDR. France."
"authors" => array:1 [
0 => array:3 [
"name" => "BARONI Michel"
"bid" => "B00000023"
"slug" => "baroni-michel"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 18:37:46"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "HDR"
"en" => "HDR"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T11:21:49.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.166562
+"parent": null
}
9 => Essec\Faculty\Model\Contribution {#2286
#_index: "academ_contributions"
#_id: "3655"
#_source: array:18 [
"id" => "3655"
"slug" => "financial-markets-a-tool-for-transferring-and-managing-risk"
"yearMonth" => "2012-04"
"year" => "2012"
"title" => "Financial Markets: A Tool for Transferring and Managing Risk?"
"description" => "BARONI, M. (2012). Financial Markets: A Tool for Transferring and Managing Risk? Dans: <i>Free Markets and the Culture of Common Good</i>. 1st ed. Springer, pp. 153-164."
"authors" => array:1 [
0 => array:3 [
"name" => "BARONI Michel"
"bid" => "B00000023"
"slug" => "baroni-michel"
]
]
"ouvrage" => "Free Markets and the Culture of Common Good"
"keywords" => array:3 [
0 => "Évaluation du risque"
1 => "Innovation financière"
2 => "Marchés de produits dérivés"
]
"updatedAt" => "2021-09-06 14:06:32"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "153-164"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Chapitres"
"en" => "Book chapters"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => """
La crise financière récente a montré que l'économie mondiale est exposée à un grand nombre de risques. Si les marchés d'actions et les marchés immobiliers capturent la création de richesse, les marchés dérivés rendent possibles l'évaluation des risques et leurs transferts entre les agents économiques. Couverture et spéculation sont les motivations principales des acteurs qui achètent et vendent les nombreux produits échangés sur ces marchés.\n
En citant abondamment les publications de Robert Shiller, ce chapitre vise à montrer que ces marchés, organisés ou non, peuvent fournir de nouveaux moyens de gérer la plupart des risques auxquels tant les entreprises que les individus font face. Cependant les énormes transferts de risque survenant sur ces marchés peuvent aussi favoriser la spéculation et conduire à de nouveaux risques systémiques, comme les marchés de dérivés de crédit ont pu le révéler dans ces dernières années. Ce chapitre cherche à considérer comment les marchés financiers peuvent mieux servir les individus, les investisseurs et les fonds d'investissement dans le contexte propre de la situation économique d'aujourd'hui.
"""
"en" => "The last financial crisis showed that the world economy is globally exposed to all kinds of risks. When equity and real estate markets capture the creation of global wealth, derivatives markets make it possible to value and transfer risk. Hedging and speculation are the main motivations of the participants who buy and sell the numerous products traded in these markets. Following Robert Shiller’s writings, this chapter aims to show that these markets, whether organized or not, may provide new ways to manage most of the risks both firms and individuals are facing. However, at the same time, huge risk transfers may foster speculation and lead to new systemic risks, as revealed by the credit derivatives market in recent years. This paper considers how the financial markets can better serve people (individuals, long investors, funds) in the context of the current economic situation."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T11:21:49.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.166562
+"parent": null
}
10 => Essec\Faculty\Model\Contribution {#2287
#_index: "academ_contributions"
#_id: "9633"
#_source: array:18 [
"id" => "9633"
"slug" => "le-capital-represente-t-il-un-cout-pour-lentreprise"
"yearMonth" => "1988-01"
"year" => "1988"
"title" => "Le capital représente-t-il un coût pour l'entreprise?"
"description" => "BARONI, M. (1988). Le capital représente-t-il un coût pour l'entreprise? <i>Hommes et Commerce</i>."
"authors" => array:1 [
0 => array:3 [
"name" => "BARONI Michel"
"bid" => "B00000023"
"slug" => "baroni-michel"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-07-13 14:31:17"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue professionnelle"
"en" => "Professional journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T11:21:49.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.166562
+"parent": null
}
11 => Essec\Faculty\Model\Contribution {#2288
#_index: "academ_contributions"
#_id: "9682"
#_source: array:18 [
"id" => "9682"
"slug" => "exercices-et-cas-gestion-financiere-de-lentreprise"
"yearMonth" => "1992-01"
"year" => "1992"
"title" => "Exercices et cas : gestion financière de l'entreprise"
"description" => "BARONI, M. et ROSENBERG, C. (1992). <i>Exercices et cas : gestion financière de l'entreprise</i>. Paris: ESF."
"authors" => array:2 [
0 => array:3 [
"name" => "BARONI Michel"
"bid" => "B00000023"
"slug" => "baroni-michel"
]
1 => array:1 [
"name" => "ROSENBERG C."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 18:37:46"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Livres"
"en" => "Books"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T11:21:49.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.166562
+"parent": null
}
12 => Essec\Faculty\Model\Contribution {#2289
#_index: "academ_contributions"
#_id: "9749"
#_source: array:18 [
"id" => "9749"
"slug" => "gestion-financiere-de-lentreprise-logiques-politique-strategie"
"yearMonth" => "1995-01"
"year" => "1995"
"title" => "Gestion financière de l'entreprise : logiques, politique, stratégie"
"description" => "BARONI, M. et ROSENBERG, C. (1995). <i>Gestion financière de l'entreprise : logiques, politique, stratégie</i>. Paris: ESF."
"authors" => array:2 [
0 => array:3 [
"name" => "BARONI Michel"
"bid" => "B00000023"
"slug" => "baroni-michel"
]
1 => array:1 [
"name" => "ROSENBERG C."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 18:37:46"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Livres"
"en" => "Books"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T11:21:49.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.166562
+"parent": null
}
13 => Essec\Faculty\Model\Contribution {#2290
#_index: "academ_contributions"
#_id: "9780"
#_source: array:18 [
"id" => "9780"
"slug" => "lethique-dans-les-activites-financieres"
"yearMonth" => "1996-05"
"year" => "1996"
"title" => "L'Éthique dans les activités financières"
"description" => "BARONI, M. (1996). L'Éthique dans les activités financières."
"authors" => array:1 [
0 => array:3 [
"name" => "BARONI Michel"
"bid" => "B00000023"
"slug" => "baroni-michel"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 18:37:46"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles ou vidéos de vulgarisation"
"en" => "Press article, video or other popular media"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T11:21:49.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.166562
+"parent": null
}
14 => Essec\Faculty\Model\Contribution {#2291
#_index: "academ_contributions"
#_id: "5408"
#_source: array:18 [
"id" => "5408"
"slug" => "an-index-to-forecast-housing-returns"
"yearMonth" => "2018-06"
"year" => "2018"
"title" => "An Index to Forecast Housing Returns"
"description" => "BARONI, M. (2018). An Index to Forecast Housing Returns. Dans: 25th European Real Estate Society (ERES) Annual Conference 2018."
"authors" => array:1 [
0 => array:3 [
"name" => "BARONI Michel"
"bid" => "B00000023"
"slug" => "baroni-michel"
]
]
"ouvrage" => "25th European Real Estate Society (ERES) Annual Conference 2018"
"keywords" => []
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T11:21:49.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.166562
+"parent": null
}
15 => Essec\Faculty\Model\Contribution {#2292
#_index: "academ_contributions"
#_id: "5972"
#_source: array:18 [
"id" => "5972"
"slug" => "financial-markets-a-tool-for-transferring-and-managing-risk"
"yearMonth" => "2010-10"
"year" => "2010"
"title" => "Financial Markets: A Tool for Transferring and Managing Risk?"
"description" => "BARONI, M. (2010). Financial Markets: A Tool for Transferring and Managing Risk? Dans: Free Markets and the Culture Of Common Good."
"authors" => array:1 [
0 => array:3 [
"name" => "BARONI Michel"
"bid" => "B00000023"
"slug" => "baroni-michel"
]
]
"ouvrage" => "Free Markets and the Culture Of Common Good"
"keywords" => []
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T11:21:49.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.166562
+"parent": null
}
16 => Essec\Faculty\Model\Contribution {#2293
#_index: "academ_contributions"
#_id: "569"
#_source: array:18 [
"id" => "569"
"slug" => "a-pca-factor-repeat-sales-index-for-apartment-prices-in-paris"
"yearMonth" => "2007-01"
"year" => "2007"
"title" => "A PCA Factor Repeat Sales Index for Apartment Prices in Paris"
"description" => "BARONI, M., BARTHELEMY, F. et MOKRANE, M. (2007). A PCA Factor Repeat Sales Index for Apartment Prices in Paris. <i>Journal of Real Estate Research</i>, pp. 137-158."
"authors" => array:3 [
0 => array:3 [
"name" => "BARONI Michel"
"bid" => "B00000023"
"slug" => "baroni-michel"
]
1 => array:2 [
"name" => "BARTHELEMY Fabrice"
"bid" => "B00006901"
]
2 => array:1 [
"name" => "MOKRANE M."
]
]
"ouvrage" => ""
"keywords" => array:5 [
0 => "Analyse en composantes principales (ACP)"
1 => "Facteurs"
2 => "Indices immobiliers"
3 => "Prévision d'indices"
4 => "Ventes répétées"
]
"updatedAt" => "2020-12-17 17:55:06"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "137-158"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "L'article propose l'élaboration d'un indice immobilier de ventes répétées fondé sur des facteurs explicatifs. Le modèle proposé repose sur une analyse en composantes principales (ACP) et est appliqué au marché immobilier résidentiels de Paris sur la période 1973-2001 à partir de la base de données CD-BIEN. Cet indice ACP est estimé pour Paris : ses caractéristiques et sa robustesse sont analysées par rapport à la période d'estimation, le choix des observations, leur périodicité et à la réversibilité de l'indice. Il est également comparé à l'indice standard de ventes répétées (WRS) qui est estimé avec les mêmes données. Contrairement à l'indice WRS l'indice ACP peut être utilisé dans un but de prévision des prix des biens immobiliers."
"en" => "This article adresses the issue of building a repeat sales index based on explanatory factors. A general and robust model based on Principal Components Analysis (PCA) is applied to the Paris residential market over the 1973-2001 period, using the CD-BIEN database. The PCA index for Paris is estimated and its characteristics and robustness are analyzed depending on estimation period, choice of observations, periodicity and reversibility. It is also compared to a standard repeat sales index (WRS) which was estimated using the same data. Contrary to the WRS index, the PCA index can be efficiently used to forecast apartment prices."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d'Information, Data Analytics et Opérations"
"en" => "Information Systems, Data Analytics and Operations"
]
"indexedAt" => "2024-11-21T11:21:49.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.166562
+"parent": null
}
17 => Essec\Faculty\Model\Contribution {#2294
#_index: "academ_contributions"
#_id: "807"
#_source: array:18 [
"id" => "807"
"slug" => "combining-monte-carlo-simulations-and-options-to-manage-the-risk-of-real-estate-portfolios"
"yearMonth" => "2013-06"
"year" => "2013"
"title" => "Combining Monte Carlo Simulations and Options to Manage the Risk of Real Estate Portfolios"
"description" => "AMEDEE-MANESME, C.O., BARTHELEMY, F., BARONI, M. et DUPUY, E. (2013). Combining Monte Carlo Simulations and Options to Manage the Risk of Real Estate Portfolios. <i>Journal of Property Investment and Finance</i>, 31(4), pp. 360-389."
"authors" => array:4 [
0 => array:2 [
"name" => "BARTHELEMY Fabrice"
"bid" => "B00006901"
]
1 => array:3 [
"name" => "BARONI Michel"
"bid" => "B00000023"
"slug" => "baroni-michel"
]
2 => array:1 [
"name" => "AMEDEE-MANESME C.-O."
]
3 => array:1 [
"name" => "DUPUY E."
]
]
"ouvrage" => ""
"keywords" => array:6 [
0 => "Break options"
1 => "Évaluation de portefeuilles immobiliers"
2 => "Gestion du risque"
3 => "Mesure du risque"
4 => "Simulation de Monte-Carlo"
5 => "Structure des baux"
]
"updatedAt" => "2021-07-13 14:30:04"
"publicationUrl" => "https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2332033"
"publicationInfo" => array:3 [
"pages" => "360-389"
"volume" => "31"
"number" => "4"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Cet article vise à montrer que l'évaluation de portefeuilles immobiliers peut être sensiblement plus juste si l'on utilise simultanément des simulations de Monte Carlo et la théorie des options. La méthode proposée étudie les options présentes dans le contrat de bail en Europe continentale qui permettent au locataire de quitter les lieux avant la fin du contrat. La méthode de Monte Carlo pour simuler les prix de marché et les valeurs locatives sont combinées à un modèle d'options qui prend en considération le comportement rationnel du locataire. Les principales conclusions montrent que les prévisions de cash flows incorporant de telles options sont plus fiables que celles que l'on calcule par la méthode traditionnelle des DCF. De plus, cette approche fournit une mesure intéressante de la distribution des cash flows. L'originalité de cette recherche repose sur la possibilité de prendre en compte la structure du bail."
"en" => "This paper aims to show that the accuracy of real estate portfolio valuations and of real estate risk management can be improved through the simultaneous use of Monte Carlo simulations and options theory. The authors’ method considers the options embedded in Continental European lease contracts drawn up with tenants who may move before the end of the contract. The authors combine Monte Carlo simulations for both market prices and rental values with an optional model that takes into account a rational tenant’s behavior. They analyze how the options significantly affect the owner’s income. The authors’ main findings are that simulated cash flows which take account of such options are more reliable that those usually computed by the traditional method of discounted cash flow. Some limitations are inherent to the authors’ model: these include the assumption of the rationality of tenant’s decisions and the difficulty of calibrating the model given the lack of data in many markets. The main contribution of the paper is both by accounting for market risk (Monte Carlo simulations for the prices and market rental values) and for accounting for the idiosyncratic risk (the leasing risk)."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d'Information, Data Analytics et Opérations"
"en" => "Information Systems, Data Analytics and Operations"
]
"indexedAt" => "2024-11-21T11:21:49.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.166562
+"parent": null
}
18 => Essec\Faculty\Model\Contribution {#2295
#_index: "academ_contributions"
#_id: "11355"
#_source: array:18 [
"id" => "11355"
"slug" => "un-nouveau-paradigme-de-la-dynamique-des-rendements-immobiliers-parisiens"
"yearMonth" => "2020-09"
"year" => "2020"
"title" => "Un nouveau paradigme de la dynamique des rendements immobiliers parisiens"
"description" => "AMEDEE-MANESME, C.O., BARTHELEMY, F. et BARONI, M. (2020). Un nouveau paradigme de la dynamique des rendements immobiliers parisiens. <i>Revue Economique</i>, 71(4), pp. 751-765."
"authors" => array:3 [
0 => array:2 [
"name" => "BARTHELEMY Fabrice"
"bid" => "B00006901"
]
1 => array:3 [
"name" => "BARONI Michel"
"bid" => "B00000023"
"slug" => "baroni-michel"
]
2 => array:1 [
"name" => "AMEDEE-MANESME Charles-Olivier"
]
]
"ouvrage" => ""
"keywords" => array:3 [
0 => "housing"
1 => "indexes"
2 => "factors"
]
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => "https://www.cairn.info/revue-economique-2020-4-page-751.htm"
"publicationInfo" => array:3 [
"pages" => "751-765"
"volume" => "71"
"number" => "4"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Cet article fait suite au travail de Baroni, Barthélémy et Mokrane [2008], dans lequel les auteurs développent un modèle factoriel permettant d’expliquer la dynamique des prix des biens immobiliers résidentiels à Paris et sa proche banlieue par un ensemble de variables économiques et financières prédéfinies. Le présent article s’attache à mettre en exergue les changements récents du poids de ces facteurs explicatifs. Les principaux résultats de l’article sont d’une part que le modèle développé par Baroni, Barthélémy et Mokrane garde sa capacité explicative, et d’autre part, que le poids des facteurs a nettement évolué ces dernières années et, par suite, que le marché immobilier résidentiel parisien est entré dans un nouveau paradigme. L’article montre notamment que l’impact des loyers sur le rendement en capital immobilier s’est récemment renforcé au détriment des taux d’intérêt."
"en" => "This article follows Baroni, Barthélémy and Mokrane [2008]. In their work, the authors propose a factorial model to explain the price dynamics of Paris and its suburbs based on a set of predefined economic and financial variables. The article seeks to bring out the recent changes on the weight of explanatory factors. The main results are first that the model developed by Baroni, Barthélémy and Mokrane keeps a good explanatory power over time and second, that factors weights largely change during the past years. So, it is now possible to assert that Paris housing market has entered a new paradigm. In particular, the article shows that the impact of rents on real estate capital return has recently increased in opposite with the one of the interest rates."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T11:21:49.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.166562
+"parent": null
}
19 => Essec\Faculty\Model\Contribution {#2296
#_index: "academ_contributions"
#_id: "11356"
#_source: array:18 [
"id" => "11356"
"slug" => "market-heterogeneity-investment-risk-and-portfolio-allocation-applying-quantile-regression-to-the-paris-apartment-market"
"yearMonth" => "2017-10"
"year" => "2017"
"title" => "Market Heterogeneity, Investment Risk and Portfolio Allocation: Applying Quantile Regression to the Paris Apartment Market"
"description" => "AMÉDÉE-MANESME, C.O., BARONI, M., BARTHELEMY, F. et DES ROSIERS, F. (2017). Market Heterogeneity, Investment Risk and Portfolio Allocation: Applying Quantile Regression to the Paris Apartment Market. <i>International Journal of Housing Markets and Analysis</i>, 10(5), pp. 641-661."
"authors" => array:4 [
0 => array:3 [
"name" => "BARONI Michel"
"bid" => "B00000023"
"slug" => "baroni-michel"
]
1 => array:2 [
"name" => "BARTHELEMY Fabrice"
"bid" => "B00006901"
]
2 => array:1 [
"name" => "AMÉDÉE-MANESME Charles-Olivier"
]
3 => array:1 [
"name" => "DES ROSIERS François"
]
]
"ouvrage" => ""
"keywords" => array:8 [
0 => "Quantile regression"
1 => "market segmentation"
2 => "hedonics"
3 => "housing submarkers"
4 => "portfolio allocation"
5 => "risk-return"
6 => "C21"
7 => "R51"
]
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => "https://www.emerald.com/insight/content/doi/10.1108/IJHMA-04-2017-0040/full/html"
"publicationInfo" => array:3 [
"pages" => "641-661"
"volume" => "10"
"number" => "5"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "The purpose of this paper is to address the heterogeneity of real estate assets with regard to investment risk measurement, with Paris’ apartment market as a case study. Quantile regression is used to handle the fact that willingness to pay for housing attributes may vary greatly over both space and asset value categories. The method is alternately applied on central and peripheral districts of Paris, or “arrondissements”, with hedonic indices built for nine deciles over a 17-year period (1990-2006). Portfolio allocation is subsequently analysed with deciles being the assets.The findings suggest that during the slump, peripheral districts show better resilience and define the efficient frontier while also exhibiting a lower volatility. In addition, higher returns are observed for lower-priced apartments, both central and peripheral. During the recovery and boom stages of the cycle, the highest returns are experienced for the cheapest apartments in central locations, whereas upper-priced, centrally located units yield the lowest returns. The originality of this research resides in the application of quantile regression in a real estate investment and risk management context. The methodology may raise individual investors’ and practitioners’ attention, especially index providers’."
"en" => "The purpose of this paper is to address the heterogeneity of real estate assets with regard to investment risk measurement, with Paris’ apartment market as a case study. Quantile regression is used to handle the fact that willingness to pay for housing attributes may vary greatly over both space and asset value categories. The method is alternately applied on central and peripheral districts of Paris, or “arrondissements”, with hedonic indices built for nine deciles over a 17-year period (1990-2006). Portfolio allocation is subsequently analysed with deciles being the assets.The findings suggest that during the slump, peripheral districts show better resilience and define the efficient frontier while also exhibiting a lower volatility. In addition, higher returns are observed for lower-priced apartments, both central and peripheral. During the recovery and boom stages of the cycle, the highest returns are experienced for the cheapest apartments in central locations, whereas upper-priced, centrally located units yield the lowest returns. The originality of this research resides in the application of quantile regression in a real estate investment and risk management context. The methodology may raise individual investors’ and practitioners’ attention, especially index providers’."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d'Information, Data Analytics et Opérations"
"en" => "Information Systems, Data Analytics and Operations"
]
"indexedAt" => "2024-11-21T11:21:49.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.166562
+"parent": null
}
20 => Essec\Faculty\Model\Contribution {#2297
#_index: "academ_contributions"
#_id: "11357"
#_source: array:18 [
"id" => "11357"
"slug" => "market-heterogeneity-and-the-determinants-of-paris-apartment-prices-a-quantile-regression-approach"
"yearMonth" => "2017-11"
"year" => "2017"
"title" => "Market heterogeneity and the determinants of Paris apartment prices: A quantile regression approach"
"description" => "AMÉDÉE-MANESME, C.O., BARONI, M., BARTHELEMY, F. et DES ROSIERS, F. (2017). Market heterogeneity and the determinants of Paris apartment prices: A quantile regression approach. <i>Urban Studies</i>, 54(14), pp. 3260-3280."
"authors" => array:4 [
0 => array:3 [
"name" => "BARONI Michel"
"bid" => "B00000023"
"slug" => "baroni-michel"
]
1 => array:2 [
"name" => "BARTHELEMY Fabrice"
"bid" => "B00006901"
]
2 => array:1 [
"name" => "AMÉDÉE-MANESME Charles-Olivier"
]
3 => array:1 [
"name" => "DES ROSIERS Francois"
]
]
"ouvrage" => ""
"keywords" => array:5 [
0 => "Hétérogénéité du marché immobilier"
1 => "Marchés du logement"
2 => "Méthodes hédoniques"
3 => "Régression par quantile"
4 => "Segmentation de marchés"
]
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => "https://journals.sagepub.com/doi/abs/10.1177/0042098016665955"
"publicationInfo" => array:3 [
"pages" => "3260-3280"
"volume" => "54"
"number" => "14"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Cet article traite de l'hétérogénéité du marché immobilier à Paris en utilisant une régression par quantile (une segmentation du marché est réalisée par décile de prix) et les attributs du prix hédonique sont mesurés pour les différents segments de prix du marché. L'approche est appliquée à une base de données provenant de la Chambre des Notaires d'Ile-de-France, qui comprend environ 156 000 transactions immobilières sur la période 200-2006. Bien que les méthodes économétriques spatiales ne peuvent être utilisées du fait de l'indisponibilité des géocodes, les effets spatiaux de dépendance sont pris en compte à travers 80 variables muettes de localisation. Les résultats de la recherche suggèrent que les prix hédoniques relatifs d'un certain nombre d'attributs diffèrent de manière significative selon les déciles. En particulier, le coefficient d'élasticité de la variable de taille des appartements qui est de 1,09 pour les prix les plus bas baisse à 1,03 pour les prix les plus élevés. L'étage de l'appartement, le nombre de parkings ainsi que certains attributs de voisinage et d'emplacement présentent des fluctuations substantielles de prix selon les déciles. Finalement, il est remarqué que plus le prix de l'appartement est bas, plus le potentiel d'appréciation du prix dans le temps est élevé. En plus d'améliorer la compréhension de la dynamique complexe d'un marché immobilier résidentiel d'une grand métropole telle que Paris, cette recherche démontre de façon empirique que l'approche par quantile permet de capturer l'hétérogénéité des prix qui s'applique tant au stock d'appartements classiques qu'au bâti historique et au secteur social."
"en" => "In this paper, the heterogeneity of the Paris apartment market is addressed. For this purpose, quantile regression is applied – with market segmentation based on price deciles – and the hedonic price of housing attributes is computed for various price segments of the market. The approach is applied to a major data set managed by the Paris region notary office (Chambre des Notaires d’Île de France), which consists of approximately 156,000 transactions over the 2000–2006 period. Although spatial econometric methods could not be applied owing to the unavailability of geocodes, spatial dependence effects are shown to be adequately accounted for through an array of 80 location dummy variables. The findings suggest that the relative hedonic prices of several housing attributes differ significantly among deciles. In particular, the elasticity coefficient of the apartment size variable, which is 1.09 for the cheapest units, is down to 1.03 for the most expensive ones. The unit floor level, the number of indoor parking slots, as well as several neighbourhood attributes and location dummies all exhibit substantial implicit price fluctuations among deciles. Finally, the lower the apartment price, the higher the potential for price appreciation over time. While enhancing our understanding of the complex market dynamics that underlie residential choices in a major metropolis such as Paris, this research provides empirical evidence that the QR approach adequately captures heterogeneity among house price ranges, which simultaneously applies to housing stock, historical construct and social fabric."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d'Information, Data Analytics et Opérations"
"en" => "Information Systems, Data Analytics and Operations"
]
"indexedAt" => "2024-11-21T11:21:49.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.166562
+"parent": null
}
21 => Essec\Faculty\Model\Contribution {#2298
#_index: "academ_contributions"
#_id: "11358"
#_source: array:18 [
"id" => "11358"
"slug" => "a-repeat-sales-index-robust-to-small-datasets"
"yearMonth" => "2011-02"
"year" => "2011"
"title" => "A repeat sales index robust to small datasets"
"description" => "BARONI, M., BARTHELEMY, F. et MOKRANE, M. (2011). A repeat sales index robust to small datasets. <i>Journal of Property Investment and Finance</i>, 29(1), pp. 35-48."
"authors" => array:3 [
0 => array:3 [
"name" => "BARONI Michel"
"bid" => "B00000023"
"slug" => "baroni-michel"
]
1 => array:2 [
"name" => "BARTHELEMY Fabrice"
"bid" => "B00006901"
]
2 => array:1 [
"name" => "MOKRANE Mahdi"
]
]
"ouvrage" => ""
"keywords" => array:3 [
0 => "Estimations d'indices immobilier"
1 => "Indices de ventes répétées"
2 => "Volume de transactions"
]
"updatedAt" => "2021-07-13 14:31:51"
"publicationUrl" => "https://www.emerald.com/insight/content/doi/10.1108/14635781111100182/full/html"
"publicationInfo" => array:3 [
"pages" => "35-48"
"volume" => "29"
"number" => "1"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => """
Comme suggéré par D. Geltner les indices immobiliers commerciaux doivent être construits par des méthodes de ventes répétées de préférence à des méthodes hédoniques. La méthode des ventes répétées est un moyen de construire des indices immobiliers fondés sur des observations de transactions répétées sur un même bien. Ces indices peuvent servir de benchmarks pour les gérants de portefeuilles immobiliers. Mais les investisseurs sont en général aussi intéressés à introduire dans leurs portefeuilles des performances immobilières pour rehausser la frontière efficiente. Ainsi la rentabilité attendue et la volatilité de ces indices doit être robuste eu égard à la périodicité utilisée et au volume de transactions.\n
Ce document vise à tester la robustesse des estimations du rendement et de la volatilité pour deux indices : l'indice classique WRS (Case & Shiller, 1987) et un indice factoriel élaboré par ACP (Baroni, Barthélémy et Mokrane, 2007). Les estimations sont calculées à partir de données d'immobilier commercial de Paris.\n
Les principaux apports de cette recherche sont que la tendance et la volatilité de l'indice WRS sont biaisés alors qu'ils ne le sont pas pour l'indice factoriel lorsque la périodicité augmente. En conséquence, le niveau de l'indice à la fin de la période d'estimation est significativement différent pour différentes périodicités de l'indice WRS. Globalement, l'indice factoriel semble plus robuste également au nombre de transactions par période.
"""
"en" => """
As suggested by D. Geltner, commercial properties indices have to be built using repeat sales instead of hedonic indices. The repeat sales method is a means of constructing real estate price indices based on a repeated observation of property transactions. These indices may be used as benchmarks for real estate portfolio managers. But the investors in general are also interested in introducing real estate performance in their portfolio to enhance the efficient frontier. Thus, expected return and volatility are the two key parameters. To create and to improve contracts on real estate indices, trend and volatility of these indices must be robust regarding the periodicity of the index and the volume of transactions.\n
This paper aims to test the robustness of the trend and volatility estimations for two indices: the classical Weighted Repeat Sales (Case & Shiller 1987) and a PCA factorial index (Baroni, Barthélémy and Mokrane 2007). The estimations are computed from a dataset of Paris commercial properties.\n
Our main findings are that the trend and volatility estimates are biased for the WRS index and not for the PCA factorial index when the periodicity increases. Consequently, the level of the index at the end of the computing period is significantly different for various periodicities in the case of the WRS index. Globally, the PCA factorial seems to be more robust to the number of transactions.
"""
]
"authors_fields" => array:2 [
"fr" => "Systèmes d'Information, Data Analytics et Opérations"
"en" => "Information Systems, Data Analytics and Operations"
]
"indexedAt" => "2024-11-21T11:21:49.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.166562
+"parent": null
}
22 => Essec\Faculty\Model\Contribution {#2299
#_index: "academ_contributions"
#_id: "7638"
#_source: array:18 [
"id" => "7638"
"slug" => "which-capital-growth-index-for-the-paris-residential-market"
"yearMonth" => "2003-08"
"year" => "2003"
"title" => "Which Capital Growth Index for the Paris Residential Market?"
"description" => "BARONI, M., BARTHELEMY, F. et MOKRANE, M. (2003). Which Capital Growth Index for the Paris Residential Market?"
"authors" => array:3 [
0 => array:3 [
"name" => "BARONI Michel"
"bid" => "B00000023"
"slug" => "baroni-michel"
]
1 => array:2 [
"name" => "BARTHELEMY Fabrice"
"bid" => "B00006901"
]
2 => array:1 [
"name" => "MOKRANE M."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Deux indices immobiliers établis par la méthode des ventes répétées sur Paris et sa première banlieue à partir des données de la base CD-BIEN sont comparés aux indices publiés existants: (i) l'indice au mètre carré moyen de la Chambre des Notaires/INSEE, (ii) les indices IPD, (iii) l'indice de l'immobilier coté. Il en ressort des conclusions intéressantes sur le risque immobilier en capital et sur l'opportunité d'utiliser conjointement l'indice WRS et l'indice factoriel."
"en" => "Two repeat sales indices for the Paris and close surrounding, established from the CD-BIEN database, are compared to different existing indices: (i) the square metre index provided by the Chambre des Notaires de Paris and INSEE, (ii) the IPD indices, (iii) the listed real estate index. Our conclusions yield interesting implications concerning capital real estate risk and suggest the construction of jointly using the repeat sales and the factorial approaches."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d'Information, Data Analytics et Opérations"
"en" => "Information Systems, Data Analytics and Operations"
]
"indexedAt" => "2024-11-21T11:21:49.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.166562
+"parent": null
}
23 => Essec\Faculty\Model\Contribution {#2300
#_index: "academ_contributions"
#_id: "14375"
#_source: array:18 [
"id" => "14375"
"slug" => "a-methodology-for-local-housing-price-index-in-france"
"yearMonth" => "2023-07"
"year" => "2023"
"title" => "A Methodology for Local Housing Price Index in France"
"description" => "MICCICHE, C., BARONI, M. et VIDAL, P. (2023). A Methodology for Local Housing Price Index in France. Dans: 29th European Real Estate Society (ERES) Annual Conference 2023. London."
"authors" => array:3 [
0 => array:3 [
"name" => "BARONI Michel"
"bid" => "B00000023"
"slug" => "baroni-michel"
]
1 => array:1 [
"name" => "MICCICHE Carmelo"
]
2 => array:1 [
"name" => "VIDAL Pierre"
]
]
"ouvrage" => "29th European Real Estate Society (ERES) Annual Conference 2023"
"keywords" => []
"updatedAt" => "2023-09-27 01:00:43"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => ""
"volume" => ""
"number" => ""
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => ""
"en" => ""
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T11:21:49.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.166562
+"parent": null
}
24 => Essec\Faculty\Model\Contribution {#2301
#_index: "academ_contributions"
#_id: "7877"
#_source: array:18 [
"id" => "7877"
"slug" => "a-pca-factor-repeat-sales-index-1973-2001-to-forecast-apartment-prices-in-paris"
"yearMonth" => "2005-02"
"year" => "2005"
"title" => "A PCA Factor Repeat Sales Index (1973-2001) to Forecast Apartment Prices in Paris"
"description" => "BARONI, M., BARTHELEMY, F. et MAHDI, M. (2005). <i>A PCA Factor Repeat Sales Index (1973-2001) to Forecast Apartment Prices in Paris</i>. ESSEC Business School."
"authors" => array:3 [
0 => array:3 [
"name" => "BARONI Michel"
"bid" => "B00000023"
"slug" => "baroni-michel"
]
1 => array:2 [
"name" => "BARTHELEMY Fabrice"
"bid" => "B00006901"
]
2 => array:1 [
"name" => "MAHDI M."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 21:00:33"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Documents de travail"
"en" => "Working Papers"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Dans ce document de travail, nous cherchons à construire un indice immobilier en suivant une méthode de " ventes répétées ", fondé sur des facteurs explicatifs. Il s'agit d'une prolongation du Working paper Baroni, Barthélémy et Mokrane (2001 et 2004, BBM) dans lequel nous avons construit un indice factoriel comme une fonction linéaire de variables économiques et financières. Ici, nous présentons un modèle plus général et plus robuste fondé sur une analyse en composantes principales (ACP). Nous appliquons cette méthodologie au marché de l'immobilier d'habitation parisien. Nous utilisons la base CD-BIEN qui contient plus de 220 000 transactions en ventes répétées sur des appartements à usage d'habitation de la région parisienne sur la période 1973-2001. Cet indice fondé sur une ACP est estimé, puis ses caractéristiques et sa robustesse sont analysées par rapport aux éléments suivants : période d'estimation, choix des observations, périodicité et réversibilité. Nous le comparons ensuite à l'indice classique sur ventes répétées (WRS) développé par Case et Shiller (1987). Finalement, nous montrons que contrairement à l'indice WRS, l'indice proposé peut être utilisé pour faire des prévisions sur l'évolution des prix des appartements"
"en" => "In this paper we address the issue of building a repeat sales index, based on factors. This is an extension of a companion paper, Baroni, Barthélémy and Mokrane (2001, BBM) in which we had built a factorial index as a selected linear function of existing economics and financial variables. Here we offer a more general and robust model based on a Principal Components Analysis (PCA). We apply this methodology to the Paris residential market. We use the CD-BIEN database that contains more than 220 000 repeat sales transactions for residential apartments in the Paris area covering the period 1973-2001 period. Our PCA index for the Paris and close surrounding area is estimated and its characteristics and robustness are analysed depending on: estimation period, choice of observations, periodicity and reversibility. We then compare it to the traditional WRS repeat sales index developed by Case & Shiller (1987). Finally we show that contrary to the WRS index, our index can be used to forecast apartment prices."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d'Information, Data Analytics et Opérations"
"en" => "Information Systems, Data Analytics and Operations"
]
"indexedAt" => "2024-11-21T11:21:49.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.166562
+"parent": null
}
25 => Essec\Faculty\Model\Contribution {#2302
#_index: "academ_contributions"
#_id: "7878"
#_source: array:18 [
"id" => "7878"
"slug" => "a-repeat-sales-index-robust-to-small-datasets"
"yearMonth" => "2009-07"
"year" => "2009"
"title" => "A Repeat Sales Index Robust to Small Datasets"
"description" => "BARONI, M., BARTHELEMY, F. et MOKRANE, M. (2009). <i>A Repeat Sales Index Robust to Small Datasets</i>. ESSEC Business School."
"authors" => array:3 [
0 => array:3 [
"name" => "BARONI Michel"
"bid" => "B00000023"
"slug" => "baroni-michel"
]
1 => array:2 [
"name" => "BARTHELEMY Fabrice"
"bid" => "B00006901"
]
2 => array:1 [
"name" => "MOKRANE M."
]
]
"ouvrage" => ""
"keywords" => array:3 [
0 => "Estimation d'indices"
1 => "Indice ventes répétées"
2 => "Volume transactions immobilières"
]
"updatedAt" => "2020-12-17 21:00:33"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Documents de travail"
"en" => "Working Papers"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Comme suggéré par D. Geltner les indices immobiliers commerciaux doivent être construits par des méthodes de ventes répétées de préférence à des méthodes hédoniques. La méthode des ventes répétées est un moyen de construire des indices immobiliers fondés sur des observations de transactions répétées sur un même bien. Ces indices peuvent servir de benchmarks pour les gérants de portefeuilles immobiliers. Mais les investisseurs sont en général aussi intéressés à introduire dans leurs portefeuilles des performances immobilières pour réhausser la frontière efficiente. Ainsi la rentabilité attendue et la volatilité de ces indices doit être robuste eu égard à la périodicité utilisée et au volume de transactions. Ce document vise à tester la robustesse des estimations du rendement et de la volatilité pour deux indices : l'indice classique WRS (Case & Shiller, 1987) et un indice factoriel élaboré par ACP (Baroni, Barthélémy et Mokrane, 2007). Les estimations sont calculées à partir de données d'immobilier commercial de Paris. Les principaux apports de cette recherche sont que la tendance et la volatilité de l'indice WRS sont biaisés alors qu'ils ne le sont pas pour l'indice factoriel lorsque la périodicité augmente. En conséquence, le niveau de l'indice à la fin de la période d'estimation est significativement différent pour différentes périodicités de l'indice WRS. Globalement, l'indice factoriel semble plus robuste également au nombre de transactions par période. Dans un premier temps, le document présente les deux méthodologies, et ensuite la base de données utilisée. Finalement l'impact du nombre de transactions par période sur la tendance et la volatilité est estimé pour pour chaque indice et les résultats sont interprétés."
"en" => "As suggested by D. Geltner, commercial properties indices have to be built using repeat sales instead of hedonic indices. The repeat sales method is a means of constructing real estate price indices based on a repeated observation of property transactions. These indices may be used as benchmarks for real estate portfolio managers. But the investors in general are also interested in introducing real estate performance in their portfolio to enhance the efficient frontier. Thus, expected return and volatility are the two key parameters. To create and to improve contracts on real estate indices, trend and volatility of these indices must be robust regarding to the periodicity of the index and the volume of transactions. This paper aims to test the robustness of the trend and volatility estimations for two indices: the classical Weighted Repeat Sales (Case & Shiller 1987) and a PCA factorial index (Baroni, Barthélémy and Mokrane 2007). The estimations are computed from a dataset of Paris commercial properties. The main findings are the trend and volatility estimates are biased for the WRS index and not for the PCA factorial index when the periodicity increases. Consequently, the level of the index at the end of the computing period is significantly different for various periodicities in the case of the WRS index. Globally, the PCA factorial seems to be more robust to the number of transactions. Firstly, we present the two methodologies and then the dataset. Finally we test the impact of the number of transactions per period on the trend and volatility estimates for each index and we give an interpretation of the results."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d'Information, Data Analytics et Opérations"
"en" => "Information Systems, Data Analytics and Operations"
]
"indexedAt" => "2024-11-21T11:21:49.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.166562
+"parent": null
}
26 => Essec\Faculty\Model\Contribution {#2303
#_index: "academ_contributions"
#_id: "7948"
#_source: array:18 [
"id" => "7948"
"slug" => "combining-monte-carlo-simulations-and-options-to-manage-the-risk-of-real-estate-portfolios"
"yearMonth" => "2011-12"
"year" => "2011"
"title" => "Combining Monte Carlo Simulations and Options to Manage the Risk of Real Estate Portfolios"
"description" => "AMEDEE-MANESME, C.O., BARONI, M., BARTHELEMY, F. et DUPUY, E. (2011). <i>Combining Monte Carlo Simulations and Options to Manage the Risk of Real Estate Portfolios</i>. ESSEC Business School."
"authors" => array:4 [
0 => array:3 [
"name" => "BARONI Michel"
"bid" => "B00000023"
"slug" => "baroni-michel"
]
1 => array:2 [
"name" => "BARTHELEMY Fabrice"
"bid" => "B00006901"
]
2 => array:1 [
"name" => "AMEDEE-MANESME C.-O."
]
3 => array:1 [
"name" => "DUPUY E."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 21:00:33"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Documents de travail"
"en" => "Working Papers"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => """
This paper aims to show that the accuracy of real estate portfolio valuations can be improved through the simultaneous use of Monte Carlo simulations and options theory. Our method considers the options embedded in Continental European lease contracts drawn up with tenants who may move before the end of the contract. We combine Monte Carlo simulations for both market prices and rental values with an optional model that takes into account a rational tenant’s behavior. We analyze to what extent the options exercised by the tenant significantly affect the owner’s income. Our main findings are that simulated cash flows which take account of such options are more reliable that those usually computed by the traditional method of discounted cash flow. Moreover, this approach provides interesting metrics, such as the distribution of cash flows. The originality of this research lies in the possibility of taking the structure of the lease into account. In practice this model could be used by professionals to improve the relevance of their valuations: the output as a distribution of outcomes should be of interest to investors. However, some limitations are inherent to our model: these include the assumption of the rationality of tenant’s decisions, and the difficulty of calibrating the model, given the lack of data.\n
After a brief literature review of simulation methods used for real estate valuation, the paper describes the suggested simulation model, its main assumptions, and the incorporation of tenant’s decisions regarding break options influencing the cash flows. Finally, using an empirical example, we analyze the sensitivity of the model to various parameters, test its robustness and note some limitations.
"""
"en" => """
This paper aims to show that the accuracy of real estate portfolio valuations can be improved through the simultaneous use of Monte Carlo simulations and options theory. Our method considers the options embedded in Continental European lease contracts drawn up with tenants who may move before the end of the contract. We combine Monte Carlo simulations for both market prices and rental values with an optional model that takes into account a rational tenant’s behavior. We analyze to what extent the options exercised by the tenant significantly affect the owner’s income. Our main findings are that simulated cash flows which take account of such options are more reliable that those usually computed by the traditional method of discounted cash flow. Moreover, this approach provides interesting metrics, such as the distribution of cash flows. The originality of this research lies in the possibility of taking the structure of the lease into account. In practice this model could be used by professionals to improve the relevance of their valuations: the output as a distribution of outcomes should be of interest to investors. However, some limitations are inherent to our model: these include the assumption of the rationality of tenant’s decisions, and the difficulty of calibrating the model, given the lack of data.\n
After a brief literature review of simulation methods used for real estate valuation, the paper describes the suggested simulation model, its main assumptions, and the incorporation of tenant’s decisions regarding break options influencing the cash flows. Finally, using an empirical example, we analyze the sensitivity of the model to various parameters, test its robustness and note some limitations.
"""
]
"authors_fields" => array:2 [
"fr" => "Systèmes d'Information, Data Analytics et Opérations"
"en" => "Information Systems, Data Analytics and Operations"
]
"indexedAt" => "2024-11-21T11:21:49.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.166562
+"parent": null
}
27 => Essec\Faculty\Model\Contribution {#2304
#_index: "academ_contributions"
#_id: "8096"
#_source: array:18 [
"id" => "8096"
"slug" => "is-it-possible-to-construct-derivatives-for-the-paris-residential-market"
"yearMonth" => "2007-12"
"year" => "2007"
"title" => "Is It Possible to Construct Derivatives for the Paris Residential Market?"
"description" => "BARONI, M., BARTHELEMY, F. et MOKRANE, M. (2007). <i>Is It Possible to Construct Derivatives for the Paris Residential Market?</i> ESSEC Business School."
"authors" => array:3 [
0 => array:3 [
"name" => "BARONI Michel"
"bid" => "B00000023"
"slug" => "baroni-michel"
]
1 => array:2 [
"name" => "BARTHELEMY Fabrice"
"bid" => "B00006901"
]
2 => array:1 [
"name" => "MOKRANE M."
]
]
"ouvrage" => ""
"keywords" => array:2 [
0 => "Indices immobiliers"
1 => "Produits dérivés immobiliers"
]
"updatedAt" => "2020-12-17 21:00:33"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Documents de travail"
"en" => "Working Papers"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Ce document de travail traite de la robustesse des estimateurs du niveau de prix, de sa tendance et de sa variance pour deux types d'indices immobiliers de ventes répétées : l'indce de ventes répétées classique et un indice factoriel par composantes principales proposé par Baroni, Barthélémy et Mokrane (BBM) en 2007. Nous utilisons une base de données du marché résidentiel de Paris pour calculer les paramètres de ces indices sur la période 1982-2005. Nous cherchons alors à tester la sensibilité de ces deux indices à l'introduction de nouvelles transactions. Notre principale conclusion est que la révision de l'indice peut provoquer une instabilité des paramètres-clés qui sont déteminants pour l'évaluation de produits dérivés. L'impact de la révision est important sur l'estimation du niveau de prix de l'indice. Nous trouvons aussi que bien que cet impact sur l'estimation de la tendance peut être important, la méthode WRS est plus robuste et des contrats tels que des swaps peuvent prendre de tels indices comme sous-jacents. Finalement, l'influence de la révision sur l'estimation de la volatilité de l'indice semble être réelle et eu égard à la robustesse de cette estimation, l'indice BBM paraît meilleur que l'indice WRS. On peut en conclure que l'indice BBM pourrait être un meilleur sous-jacent à des dérivés tels que des options."
"en" => "In this paper we address the issue of the robustness of the price level, mean, and variance estimates for two sets of repeat sales real estate price indices: the classical WRS method and a PCA factorial method, as elaborated in Baroni, Barthélémy and Mokrane (2007). We use an extensive repeat sales database for the Paris (France) residential market to compute the parameters of the indices produced over the period 1982-2005. The aim here is to test the sensitivity of these two indices to revision due to additional repeat-sales transactions information. Our main conclusion is that the revision problem may cause serious concern for the stability of key parameters that are used as inputs in the pricing of derivatives contracts. The impact of index revision is important on the estimate of the index price level. We also find that although the revision impact on the trend estimate can be important: the WRS method seems more robust and derivatives contracts such as swaps may be based on such indices. Finally, the revision influence on volatility estimates seems to be less stringent, and according to the robustness of the volatility estimate, the BBM factorial index seems to fare relatively better than the WRS index. Hence, we find that the factorial index could better sustain volatility based derivatives such as call or put options."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d'Information, Data Analytics et Opérations"
"en" => "Information Systems, Data Analytics and Operations"
]
"indexedAt" => "2024-11-21T11:21:49.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.166562
+"parent": null
}
28 => Essec\Faculty\Model\Contribution {#2305
#_index: "academ_contributions"
#_id: "8305"
#_source: array:18 [
"id" => "8305"
"slug" => "optimal-holding-period-for-a-real-estate-portfolio"
"yearMonth" => "2007-04"
"year" => "2007"
"title" => "Optimal Holding Period for a Real Estate Portfolio"
"description" => "BARONI, M., BARTHELEMY, F. et MOKRANE, M. (2007). <i>Optimal Holding Period for a Real Estate Portfolio</i>. ESSEC Business School."
"authors" => array:3 [
0 => array:3 [
"name" => "BARONI Michel"
"bid" => "B00000023"
"slug" => "baroni-michel"
]
1 => array:2 [
"name" => "BARTHELEMY Fabrice"
"bid" => "B00006901"
]
2 => array:1 [
"name" => "MOKRANE M."
]
]
"ouvrage" => ""
"keywords" => array:3 [
0 => "Durée de détention"
1 => "Gestion de portefeuille immobilier"
2 => "Simulations de cash-flows"
]
"updatedAt" => "2020-12-17 21:00:33"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Documents de travail"
"en" => "Working Papers"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Ce papier rend compte de l'usage de cash-flows simulés pour déterminer la période de détention optimale d'un portefeuille immobilier pour en maximiser la valeur actuelle. L'approche DCF traditionnelle qui estime la valeur de revente par un taux de croissance à l'infini du dernier cash-flow ne permet pas de dégager un tel optimum. En revanche, si la valeur terminale est calculée à partir de la tendance d'un processus de diffusion du prix, un optimum peut apparaître sous certaines conditions. De plus, le document comprend l'étude de la sensibilité de la valeur actuelle du portefeuille aux différents paramètres intervenant dans l'estimation des cash-flows."
"en" => "This paper considers the use of simulated cash flows to determine the optimal holding period of a real estate portfolio to maximize its present value. The traditional DCF approach with an estimation of the resale value through a growth rate of the future cash flow does not let appear this optimum. However, if the terminal value is calculated from the trend of a diffusion process of the price, an optimum may appear under certain conditions. Finally we consider the sensitivity of the present value to the different parameters involved in the cash flow estimations."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d'Information, Data Analytics et Opérations"
"en" => "Information Systems, Data Analytics and Operations"
]
"indexedAt" => "2024-11-21T11:21:49.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.166562
+"parent": null
}
29 => Essec\Faculty\Model\Contribution {#2306
#_index: "academ_contributions"
#_id: "8327"
#_source: array:18 [
"id" => "8327"
"slug" => "physical-real-estate-a-paris-repeat-sales-residential-index"
"yearMonth" => "2004-06"
"year" => "2004"
"title" => "Physical Real Estate: A Paris Repeat Sales Residential Index"
"description" => "BARONI, M., BARTHELEMY, F. et MAHDI, M. (2004). <i>Physical Real Estate: A Paris Repeat Sales Residential Index</i>. ESSEC Business School."
"authors" => array:3 [
0 => array:3 [
"name" => "BARONI Michel"
"bid" => "B00000023"
"slug" => "baroni-michel"
]
1 => array:2 [
"name" => "BARTHELEMY Fabrice"
"bid" => "B00006901"
]
2 => array:1 [
"name" => "MAHDI M."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 21:00:33"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Documents de travail"
"en" => "Working Papers"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Nous présentons dans ce document de travail la méthodologie de construction d'indice immobilier par les ventes répétées, élaborée par Case et Shiller (1987), ainsi que les problèmes d'estimation qu'elle soulève. Nous nous interrogeons notamment sur l'influence de la période choisie dans l'estimation de l'indice. Nous appliquons ensuite cette méthodologie pour créer un indice pour l'immobilier d'habitation à Paris. Nous utilisons pour ce faire, une base de données qui contient plus de 220 000 observations de ventes de biens immobiliers en région parisienne sur la période 19873-2001. Cet indice fondé sur des taux de rendement est comparé à l'indice de prix officiel utilisé en France pour Paris, l'indice Notaires/INSEE. Nous mettons en lumière la robustesse de l'estimation de l'indice quant à la périodicité choisie à partir de l'estimation du rendement et de la volatilité. La sensibilité de l'indice au choix de la période sur laquelle il est estimé est également étudié dans la dernière partie. Nous en concluons que d'une part l'estimation est robuste quelle que soit la période choisie pour la réaliser et que d'autre part, l'indice calculé par la méthode des ventes répétées est significativement différent de l'indice officiel de l'immobilier d'habitation à Paris."
"en" => "In this paper we present the repeat sales index methodology developed by Case and Shiller (1987) and its estimation problem. We particularly describe the problem arising from the time intervals construction for the estimation. We then apply this methodology to the Paris residential market. We use the CD-BIEN database that contains more than 220 000 repeat sales transactions for residential properties in the Paris area covering the period 1973-2001 period. This index based on returns is compared to the official one used in France for Paris based on single prices, the Notaires/INSEE index. We then underline the robustness of in the index estimation according to its periodicity by the way of the return and volatility estimation. The index sensibility to the time period is studied in the last part. We conclude that i) the estimation is quite robust whatever the estimation period is, and ii) this index is significantly different from the official residential index for Paris."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d'Information, Data Analytics et Opérations"
"en" => "Information Systems, Data Analytics and Operations"
]
"indexedAt" => "2024-11-21T11:21:49.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.166562
+"parent": null
}
30 => Essec\Faculty\Model\Contribution {#2307
#_index: "academ_contributions"
#_id: "8328"
#_source: array:18 [
"id" => "8328"
"slug" => "physical-real-estate-risk-factors-and-investor-behavior"
"yearMonth" => "2001-06"
"year" => "2001"
"title" => "Physical Real Estate: Risk Factors and Investor Behavior"
"description" => "BARONI, M., BARTHELEMY, F. et MOKRANE, M. (2001). <i>Physical Real Estate: Risk Factors and Investor Behavior</i>. ESSEC Business School."
"authors" => array:3 [
0 => array:3 [
"name" => "BARONI Michel"
"bid" => "B00000023"
"slug" => "baroni-michel"
]
1 => array:2 [
"name" => "BARTHELEMY Fabrice"
"bid" => "B00006901"
]
2 => array:1 [
"name" => "MOKRANE M."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 21:00:33"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Documents de travail"
"en" => "Working Papers"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Les principaux facteurs de risque de l'immobilier physique en région parisienne sur la période 1973-1998 sont identifiés grâce à une méthode d'Analyse en Composantes Principales (ACP) et à une méthode de régression "stepwise" sur environ 100 000 données de transactions. La première méthode montre qu'une combinaison de variables comme le taux long, l'écart entre le taux long et le taux court, l'indice actions, les loyers, le chômage ou l'indice immobilier coté, ne peuvent pas capturer totalement le risque de rendement en capital immobilier physique. La seconde méthode montre que si l'on devait néanmoins tenter d'utiliser un modèle factoriel pour représenter les mouvements sur les rendements immobiliers, les facteurs à retenir seraient : les loyers, le chômage, l'immobilier coté. Des comparaisons avec les indices existants permettent d'établir des résultats intéressants concernant la nature du risque, le comportement des intervenants sur le marché, et la nature de la crise des années 1990."
"en" => "The main risk factors for residential properties in the Paris area over the 1973-1978 period are identified using a Principal Component Analysis as well as a Stepwise WLS Regression Method. The first method indicates that linear or log-linear combinations of factors such as interest rates, interest rate spreads, equity market returns, rents, unemployment, or even market traded real estate cannot wholly capture physical real estate return risk. The second method indicates it is nevertheless possible to derive a factor model for real estate risk, and that the consistent factors are rents, unemployment, and listed real estate. Comparisons of our factor model index with the IPD index and the Notaires/INSEE square-metre price index, as well as statistical probe of the database, yield interesting implications concerning real estate risk, market participant behaviour, and the nature of the so-called 1990's "speculative bubble"."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d'Information, Data Analytics et Opérations"
"en" => "Information Systems, Data Analytics and Operations"
]
"indexedAt" => "2024-11-21T11:21:49.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.166562
+"parent": null
}
31 => Essec\Faculty\Model\Contribution {#2308
#_index: "academ_contributions"
#_id: "8456"
#_source: array:18 [
"id" => "8456"
"slug" => "the-impact-of-lease-structures-on-the-optimal-holding-period-for-a-commercial-real-estate-portfolio"
"yearMonth" => "2014-09"
"year" => "2014"
"title" => "The Impact of Lease Structures on the Optimal Holding Period for a Commercial Real Estate Portfolio"
"description" => "AMEDEE-MANESME, C.O., BARONI, M., BARTHELEMY, F. et MOKRANE, M. (2014). <i>The Impact of Lease Structures on the Optimal Holding Period for a Commercial Real Estate Portfolio</i>. ESSEC Business School."
"authors" => array:4 [
0 => array:3 [
"name" => "BARONI Michel"
"bid" => "B00000023"
"slug" => "baroni-michel"
]
1 => array:2 [
"name" => "BARTHELEMY Fabrice"
"bid" => "B00006901"
]
2 => array:1 [
"name" => "AMEDEE-MANESME C.-O."
]
3 => array:1 [
"name" => "MOKRANE M."
]
]
"ouvrage" => ""
"keywords" => array:4 [
0 => "Durée de détention optimale"
1 => "Gestion de portefeuille"
2 => "Immobilier"
3 => "Simulation"
]
"updatedAt" => "2020-12-17 21:00:33"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Documents de travail"
"en" => "Working Papers"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => """
L’objectif de ce document de recherche est de montrer les impacts de la durée du bail et des options de sortie sur la durée optimale de détention d’un actif ou d’un portefeuille immobilier.\n
\n
Nous utilisons des méthodes de simulation de Monte-Carlo pour simuler les cash-flows engendrés par un actif immobilier en prenant en compte la structure des baux (montant du loyer, règles d’indexations, durée totale du bail et options de sortie). Nous faisons l’hypothèse que le locataire exercera son option de départ si le loyer payé est plus élevé que le loyer de marché d’un bien similaire. \n
Nous représentons aussi la durée de vacances par un modèle stochastique en utilisant une loi de Poisson.\n
Les valeurs en capital du bien ainsi que les loyers de marché sont simulés en utilisant des processus stochastiques spécifiques et en prenant en compte leurs corrélations. Nous considérons que la durée de détention optimale d’un actif est atteinte lorsque la valeur actualisée du bien (correspondant à la somme des cash flows libres actualisés et de la valeur terminale actualisée) est maximale.\n
\n
Il est démontré qu’en cohérence avec la littérature des marchés financiers et la pratique professionnelle en immobilier, les options de sortie dans les baux peuvent altérer substantiellement les durées de détention optimales des actifs immobiliers et par extension des portefeuilles immobilier. Nous montrons aussi que toutes choses étant égales par ailleurs, lorsque les durées des baux sont plus courtes, ou la volatilité des loyers de marché plus élevée (accroissant la réversion négative du loyer), ou la durée de vacance plus longue, ou encore des options de sorties négatives, la durée de détention optimale d’un actif a tendance à décroître. L’inverse est également vrai.\n
\n
Les professionnels trouveront des éclairages ainsi qu’une méthodologie pratique pour déterminer ex-ante la période de détention optimale d’un actif ou d’un portefeuille à partir de paramètres de marché et de paramètres spécifiques incluant la structure des baux.\n
\n
L’originalité de ce document réside dans l’approche par simulation des cash flows générés par un bien immobilier en incorporant la durée du bail et les options de sorties ainsi que le risque de marché et d’autres sources spécifiques de risque. Ceci est particulièrement important pour la gestion de portefeuille immobilier, car habituellement de tels risques spécifiques sont difficiles à diversifier.
"""
"en" => """
The purpose of this paper is to exhibit the impacts of lease duration and lease break options on the optimal holding period for a real estate asset or portfolio.\n
\n
We use a Monte Carlo simulation framework to simulate a real estate asset’s cash-flows in which lease structures (rent, indexation pattern, overall lease duration and break options) are explicitly taken into account. We assume that a tenant exercises his/her option to break a lease if the rent paid is higher than the market rental value of similar properties. We also model vacancy duration stochastically using Poisson’s law. Finally capital values and market rental values are simulated using specific stochastic processes, and are also assumed to be correlated. We derive the optimal holding period for the asset as the value that maximises its discounted value, which is the sum of the discounted free cash flows and the discounted terminal value.\n
\n
We demonstrate that, consistent with existing capital markets literature and real estate business practice, break-options in leases can dramatically alter optimal holding periods for real estate assets and portfolios by extension. We show that, everything else being equal, shorter lease durations, higher market rental value volatility, increasing negative rental reversion, higher vacancy duration, more break options, all tend to decrease the optimal holding period of a real estate asset. The converse is also true. \n
\n
Practitioners are offered insights as well as a practical methodology for determining the ex-ante optimal holding period for an asset or a portfolio based on a number of market and asset specific parameters including the lease structure.\n
\n
The originality of the paper derives from taking an explicit modelling approach to lease duration and lease breaks as additional sources of asset specific risk alongside market risk. This is critical in real estate portfolio management because such specific risk is usually difficult to diversify.
"""
]
"authors_fields" => array:2 [
"fr" => "Systèmes d'Information, Data Analytics et Opérations"
"en" => "Information Systems, Data Analytics and Operations"
]
"indexedAt" => "2024-11-21T11:21:49.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.166562
+"parent": null
}
32 => Essec\Faculty\Model\Contribution {#2309
#_index: "academ_contributions"
#_id: "8465"
#_source: array:18 [
"id" => "8465"
"slug" => "the-paris-residential-market-driving-factors-and-market-behaviour-1973-2001"
"yearMonth" => "2004-05"
"year" => "2004"
"title" => "The Paris Residential Market: Driving Factors and Market Behaviour 1973-2001"
"description" => "BARONI, M., BARTHELEMY, F. et MAHDI, M. (2004). <i>The Paris Residential Market: Driving Factors and Market Behaviour 1973-2001</i>. ESSEC Business School."
"authors" => array:3 [
0 => array:3 [
"name" => "BARONI Michel"
"bid" => "B00000023"
"slug" => "baroni-michel"
]
1 => array:2 [
"name" => "BARTHELEMY Fabrice"
"bid" => "B00006901"
]
2 => array:1 [
"name" => "MAHDI M."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 21:00:33"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Documents de travail"
"en" => "Working Papers"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Dans ce document nous cherchons à mettre en lumière les facteurs directeurs de l'évolution du marché immobilier d'habitation de la région parisienne. Pour ce faire, nous utilisons une base de données comprenant près de 230 000 transactions de biens immobiliers d'habitation en région parisienne sur la période 1973-2001. Nous élaborons un modèle factoriel qui permet d'appréhender le lien systématique entre le prix des biens immobiliers d'habitation et un jeu de variables économiques pré-définies ou une combinaison de ces variables. Nous faisons l'hypothèse que les taux de croissance des rendements immobiliers en capital sont liés à ceux des variables précitées. Puis nous mesurons ce lien, qui met en exergue les " fondamentaux " du marché immobilier. Nous élaborons ainsi un indice immobilier comme une fonction d'un certain nombre d'autres indices. La méthodologie fondée sur une approche multi-factorielle présente deux avantages principaux sur les indices immobiliers existants. En premier lieu, elle permet d'identifier les facteurs explicatifs de l'évolution des prix de l'immobilier d'habitation à Paris. En second lieu, ces facteurs peuvent être utilisés pour élaborer un modèle factoriel dont les résultats peuvent être comparés aux indices existants, et qui peut aboutir à des prévisions pour l'évolution des prix de l'immobilier d'habitation."
"en" => "In this paper we investigate the driving factors associated with the Paris apartment market. We explore a database of nearly 230 000 transactions for residential properties in the Paris area over the 1973 - 2001 period. We develop a factorial model that may capture the systematic link between residential prices and a set of predefined economic variables or a linear combination of these economic variables. We assume that capital growth rates in real estate are related to the variables we defined in the last paragraph. We measure this link which underlines the 'true path' of the real estate market: in that way we can develop an index as a function of many other indices. The methodology we develop, based on a multifactor approach to apartment price movements in the long run, has two main advantages over traditional indices. Firstly, we are able to identify the main driving factors for the Paris residential market. And secondly, the factors thus derived can be used to generate a "factor model" useful in comparison to existing capital growth indices and that provides valuable intuition for forecasting residential prices."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d'Information, Data Analytics et Opérations"
"en" => "Information Systems, Data Analytics and Operations"
]
"indexedAt" => "2024-11-21T11:21:49.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.166562
+"parent": null
}
33 => Essec\Faculty\Model\Contribution {#2310
#_index: "academ_contributions"
#_id: "8522"
#_source: array:18 [
"id" => "8522"
"slug" => "which-capital-growth-index-for-the-paris-residential-market"
"yearMonth" => "2003-02"
"year" => "2003"
"title" => "Which Capital Growth Index for the Paris Residential Market?"
"description" => "BARONI, M., BARTHELEMY, F. et MOKRANE, M. (2003). <i>Which Capital Growth Index for the Paris Residential Market?</i> ESSEC Business School."
"authors" => array:3 [
0 => array:3 [
"name" => "BARONI Michel"
"bid" => "B00000023"
"slug" => "baroni-michel"
]
1 => array:2 [
"name" => "BARTHELEMY Fabrice"
"bid" => "B00006901"
]
2 => array:1 [
"name" => "MOKRANE M."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 18:37:46"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Documents de travail"
"en" => "Working Papers"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Dans ce document, nous cherchons à mesurer la performance en capital du marché immobilier de Paris. Après avoir identifié trois indices existants, nous montrons qu'ils ne sont pas vraiment adaptés à l'objectif recherché. Les données de transactions de la base CD-BIEN sur la période 1983-2001 permettent d'estimer deux indices complémentaires utilisant des méthodes de ventes répétées : l'indice de Case et Shiller (WRS) et un indice factoriel établi en suivant l'approche définie dans Baroni, Barthélémy, Mokrane (DR0120-2001). Nous établissons quelques conclusions sur l'évaluation du risque immobilier en suggérant une utilisation conjointe de ces deux indices."
"en" => "In this paper we address the issue of measuring price performance for the Paris residential market. We identify three existing indices but show that they are not completely appropriate to address our main goals. From the CD-BIEN database covering the period 1983-2001, we estimate two complementary repeat sales indices: a Case & Shiller (1987) Weighted Repeat Sales (WRS) index and a Factorial index using the Baroni, Barthélémy & Mokrane (DR0120-2001) approach. Our conclusions yield interesting implications concerning real estate risk and suggest the construction of jointly using the repeat sales and the factorial approaches."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d'Information, Data Analytics et Opérations"
"en" => "Information Systems, Data Analytics and Operations"
]
"indexedAt" => "2024-11-21T11:21:49.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.166562
+"parent": null
}
34 => Essec\Faculty\Model\Contribution {#2311
#_index: "academ_contributions"
#_id: "5282"
#_source: array:18 [
"id" => "5282"
"slug" => "a-changing-model-for-real-estate-returns-a-factorial-approach"
"yearMonth" => "2017-06"
"year" => "2017"
"title" => "A Changing Model for Real Estate Returns: A Factorial Approach"
"description" => "BARONI, M., AMÉDÉE-MANESME, C.O. et BARTHELEMY, F. (2017). A Changing Model for Real Estate Returns: A Factorial Approach. Dans: 24th Annual Conference of the European Real Estate Society (ERES)."
"authors" => array:3 [
0 => array:3 [
"name" => "BARONI Michel"
"bid" => "B00000023"
"slug" => "baroni-michel"
]
1 => array:2 [
"name" => "BARTHELEMY Fabrice"
"bid" => "B00006901"
]
2 => array:1 [
"name" => "AMÉDÉE-MANESME C.-O."
]
]
"ouvrage" => "24th Annual Conference of the European Real Estate Society (ERES)"
"keywords" => []
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Systèmes d'Information, Data Analytics et Opérations"
"en" => "Information Systems, Data Analytics and Operations"
]
"indexedAt" => "2024-11-21T11:21:49.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.166562
+"parent": null
}
35 => Essec\Faculty\Model\Contribution {#2312
#_index: "academ_contributions"
#_id: "5329"
#_source: array:18 [
"id" => "5329"
"slug" => "a-repeat-sales-index-robust-to-small-datasets"
"yearMonth" => "2008-06"
"year" => "2008"
"title" => "A Repeat Sales Index Robust to Small Datasets"
"description" => "BARONI, M., BARTHELEMY, F. et MOKRANE, M. (2008). A Repeat Sales Index Robust to Small Datasets."
"authors" => array:3 [
0 => array:3 [
"name" => "BARONI Michel"
"bid" => "B00000023"
"slug" => "baroni-michel"
]
1 => array:2 [
"name" => "BARTHELEMY Fabrice"
"bid" => "B00006901"
]
2 => array:1 [
"name" => "MOKRANE M."
]
]
"ouvrage" => ""
"keywords" => array:3 [
0 => "Estimation d'indices"
1 => "Indices ventes répétées "
2 => "Volume transactions immobilières"
]
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Comme suggéré par D. Geltner les indices immobiliers commerciaux doivent être construits par des méthodes de ventes répétées de préférence à des méthodes hédoniques. La méthode des ventes répétées est un moyen de construire des indices immobiliers fondés sur des observations de transactions répétées sur un même bien. Ces indices peuvent servir de benchmarks pour les gérants de portefeuilles immobiliers. Mais les investisseurs sont en général aussi intéressés à introduire dans leurs portefeuilles des performances immobilières pour réhausser la frontière efficiente. Ainsi la rentabilité attendue et la volatilité de ces indices doit être robuste eu égard à la périodicité utilisée et au volume de transactions. Ce document vise à tester la robustesse des estimations du rendement et de la volatilité pour deux indices : l'indice classique WRS (Case & Shiller, 1987) et un indice factoriel élaboré par ACP (Baroni, Barthélémy et Mokrane, 2007). Les estimations sont calculées à partir de données d'immobilier commercial de Paris. Les principaux apports de cette recherche sont que la tendance et la volatilité de l'indice WRS sont biaisés alors qu'ils ne le sont pas pour l'indice factoriel lorsque la périodicité augmente. En conséquence, le niveau de l'indice à la fin de la période d'estimation est significativement différent pour différentes périodicités de l'indice WRS. Globalement, l'indice factoriel semble plus robuste également au nombre de transactions par période. Dans un premier temps, le document présente les deux méthodologies, et ensuite la base de données utilisée. Finalement l'impact du nombre de transactions par période sur la tendance et la volatilité est estimé pour pour chaque indice et les résultats sont interprétés."
"en" => "As suggested by D. Geltner, commercial properties indices have to be built using repeat sales instead of hedonic indices. The repeat sales method is a means of constructing real estate price indices based on a repeated observation of property transactions. These indices may be used as benchmarks for real estate portfolio managers. But the investors in general are also interested in introducing real estate performance in their portfolio to enhance the efficient frontier. Thus, expected return and volatility are the two key parameters. To create and to improve contracts on real estate indices, trend and volatility of these indices must be robust regarding to the periodicity of the index and the volume of transactions. This paper aims to test the robustness of the trend and volatility estimations for two indices: the classical Weighted Repeat Sales (Case & Shiller 1987) and a PCA factorial index (Baroni, Barthélémy and Mokrane 2007). The estimations are computed from a dataset of Paris commercial properties. The main findings are the trend and volatility estimates are biased for the WRS index and not for the PCA factorial index when the periodicity increases. Consequently, the level of the index at the end of the computing period is significantly different for various periodicities in the case of the WRS index. Globally, the PCA factorial seems to be more robust to the number of transactions. Firstly, we present the two methodologies and then the dataset. Finally we test the impact of the number of transactions per period on the trend and volatility estimates for each index and we give an interpretation of the results."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d'Information, Data Analytics et Opérations"
"en" => "Information Systems, Data Analytics and Operations"
]
"indexedAt" => "2024-11-21T11:21:49.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.166562
+"parent": null
}
36 => Essec\Faculty\Model\Contribution {#2313
#_index: "academ_contributions"
#_id: "5372"
#_source: array:18 [
"id" => "5372"
"slug" => "addressing-house-price-appreciation-in-a-heterogeneous-maret-the-case-of-the-paris-apartment-market-1990-2006"
"yearMonth" => "2009-06"
"year" => "2009"
"title" => "Addressing House Price Appreciation in a Heterogeneous Maret. The Case of the Paris Apartment Market, 1990-2006"
"description" => "BARONI, M., BARTHELEMY, F. et DES ROSIERS, F. (2009). Addressing House Price Appreciation in a Heterogeneous Maret. The Case of the Paris Apartment Market, 1990-2006. Dans: ENHR09 Prague - Changing Housing Markets: Integration and Segmentation."
"authors" => array:3 [
0 => array:3 [
"name" => "BARONI Michel"
"bid" => "B00000023"
"slug" => "baroni-michel"
]
1 => array:2 [
"name" => "BARTHELEMY Fabrice"
"bid" => "B00006901"
]
2 => array:1 [
"name" => "DES ROSIERS F."
]
]
"ouvrage" => "ENHR09 Prague - Changing Housing Markets: Integration and Segmentation"
"keywords" => []
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Systèmes d'Information, Data Analytics et Opérations"
"en" => "Information Systems, Data Analytics and Operations"
]
"indexedAt" => "2024-11-21T11:21:49.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.166562
+"parent": null
}
37 => Essec\Faculty\Model\Contribution {#2314
#_index: "academ_contributions"
#_id: "5595"
#_source: array:18 [
"id" => "5595"
"slug" => "comparison-of-real-estate-indices-for-paris-can-we-detect-the-so-called-bubble"
"yearMonth" => "2002-06"
"year" => "2002"
"title" => "Comparison of Real Estate Indices for Paris: Can we Detect the So-called Bubble?"
"description" => "BARONI, M., BARTHELEMY, F. et MOKRANE, M. (2002). Comparison of Real Estate Indices for Paris: Can we Detect the So-called Bubble?"
"authors" => array:3 [
0 => array:3 [
"name" => "BARONI Michel"
"bid" => "B00000023"
"slug" => "baroni-michel"
]
1 => array:2 [
"name" => "BARTHELEMY Fabrice"
"bid" => "B00006901"
]
2 => array:1 [
"name" => "MOKRANE M."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Cette présentation vise à mesurer la performance en capital du marché immobilier parisien d'habitation. Les objectifs principaux consistent à déterminer l'indice ou les indices qui sont le mieux adaptés pour mesurer la croissance de la valeur en capital, le risque qui y est attaché et d'identifier les principaux facteurs de risque inhérents à ce marché spécifique. Nous décrivons trois indices existants, mais il est montré qu'aucun d'entre eux ne permet d'atteindre en totalité ces objectifs. Nous construisons en complément deux indices fondés sur des méthodes de "ventes répétées" : un indice suivant la méthodologie des ventes répétées de Case et Shiller (1987) et un indice factoriel utilisant l'approche de Baroni, Barthélémy et Mokrane (2001). La base de données utilisée est la base CD-BIEN qui contient environ 220 000 transactions faisant l'objet de ventes répétées sur des biens d'habitation en région parisienne sur la période 1983-2001. Nous calculons ces deux indices pour Paris et sa proche banlieue et nous les comparons aux différents indices existants : l'indice de prix au mètre carré de la Chambre des Notaires de Paris/INSEE, l'indice IPD, et l'indice de l'immobilier coté. Notre étude aboutit à des conclusions intéressantes sur le risque de l'immobilier physique et suggère l'utilisation conjointe de l'approche factorielle et de la méthode des ventes répétées."
"en" => "In this paper we address the issue of measuring price performance for the Paris residential market. Our main focus is on choosing the appropriate index or indices capable of efficiently capturing capital growth, capital risk, and identifying the main risk factors inherent in this specific market. We identify three existing indices but show that they may not be completely appropriate to address our main goals. We therefore construct two complementary repeat sales indices: a Case & Shiller (1987) Weighted Repeat Sales (WRS) index and a Factorial index using the Baroni, Barthélémy & Mokrane (2001) approach. We use the CD-BIEN database that contains more than 220 000 repeat sales transactions for residential properties in the Paris area covering the period 1983-1998 period. We estimate these two indices for the Paris and close surrounding area and compare them to different existing indices: (i) the square metre index provided by the Chambre des Notaires de Paris and INSEE, (ii) the IPD indices, (iii) the listed real estate index. Our conclusions yield interesting implications concerning real estate risk and suggest the construction of jointly using the repeat sales and the factorial approaches."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d'Information, Data Analytics et Opérations"
"en" => "Information Systems, Data Analytics and Operations"
]
"indexedAt" => "2024-11-21T11:21:49.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.166562
+"parent": null
}
38 => Essec\Faculty\Model\Contribution {#2315
#_index: "academ_contributions"
#_id: "5627"
#_source: array:18 [
"id" => "5627"
"slug" => "constructing-a-new-real-estate-risk-index-for-the-paris-residential-market"
"yearMonth" => "2007-06"
"year" => "2007"
"title" => "Constructing a New Real Estate Risk Index for the Paris Residential Market"
"description" => "BARONI, M., BARTHELEMY, F. et MOKRANE, M. (2007). Constructing a New Real Estate Risk Index for the Paris Residential Market."
"authors" => array:3 [
0 => array:3 [
"name" => "BARONI Michel"
"bid" => "B00000023"
"slug" => "baroni-michel"
]
1 => array:2 [
"name" => "BARTHELEMY Fabrice"
"bid" => "B00006901"
]
2 => array:1 [
"name" => "MOKRANE M."
]
]
"ouvrage" => ""
"keywords" => array:4 [
0 => "Facteurs de risque"
1 => "Indices immobiliers"
2 => "Risque immobilier"
3 => "Ventes répétées"
]
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Ce papier considère les facteurs explicatifs des prix du marché immobilier résidentiel de Paris. La base de données est constituée par 276 000 transactions de biens immobiliers résidentiels pendant la période 1982-2005. Un modèle factoriel est développé pour capturer le lien systématique entre les prix immobiliers et une combinaison linéaire de variables économiques. Ce lien est mesuré par une méthodologie multi-factorielle et indique le "true path" du marché immobilier au sens où les facteurs systématiques représentent son comportement. Les facteurs mis en évidence sont utilisés pour créer un indice factoriel qui peut être comparé aux autres indices et qui peut fournir les éléments nécessaires à la prévision des prix immobiliers."
"en" => "In this paper we investigate the driving factors associated with the Paris apartment market. We explore a database of around 276 000 transactions for residential properties in the Paris area over the 1982-2005 period. We develop a factorial model that may capture the systematic link between residential prices and a set of predefined economic variables or their linear combination. We measure this link by a multifactor approach which underlines the "true path" of the real estate market in the sense that systematic factors can represent it. The factors thus derived can be used to generate a "actor model" useful in comparison to existing price growth indices and that may provide valuable intuition for forecasting residential prices."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d'Information, Data Analytics et Opérations"
"en" => "Information Systems, Data Analytics and Operations"
]
"indexedAt" => "2024-11-21T11:21:49.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.166562
+"parent": null
}
39 => Essec\Faculty\Model\Contribution {#2316
#_index: "academ_contributions"
#_id: "6248"
#_source: array:18 [
"id" => "6248"
"slug" => "is-it-possible-to-construct-derivatives-for-the-paris-residential-market"
"yearMonth" => "2007-01"
"year" => "2007"
"title" => "Is it Possible to Construct Derivatives for the Paris Residential Market?"
"description" => "BARONI, M., BARTHELEMY, F. et MOKRANE, M. (2007). Is it Possible to Construct Derivatives for the Paris Residential Market?"
"authors" => array:3 [
0 => array:3 [
"name" => "BARONI Michel"
"bid" => "B00000023"
"slug" => "baroni-michel"
]
1 => array:2 [
"name" => "BARTHELEMY Fabrice"
"bid" => "B00006901"
]
2 => array:1 [
"name" => "MOKRANE M."
]
]
"ouvrage" => ""
"keywords" => array:2 [
0 => "Dérivés immobilier"
1 => "Indice de ventes répétées"
]
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Ce papier traite de la robustesse de l'estimation du niveau de prix pour deux indices immobiliers : un indice calculé selon la méthode WRS classique et un indice factoriel élaboré par Baroni, Barthélémy et Mokrane (2007). Cette étude est une extension de celle faite par Clapham, Englund, Quigley et Redfearn (2006) dans le but de mesurer l'efficacité de tels indices lorsqu'ils sont pris comme sous-jacents de contrats dérivés sur immobilier. Des tests ont été pratiqués sur les données du marché de l'immobilier d'habitation à Paris sur la période 1982-2005, et la principale conclusion est que la révision des indices liée à des compléments d'information pose un sérieux problème pour les indices de ventes répétées. Si l'indice WRS semble plus robuste que l'indice factoriel pour des contrats tels que les swaps, l'indice factoriel semble plus approprié pour des contrats optionnels du fait d'une estimation plus robuste de la volatilité."
"en" => "In this paper we address the issue the robustness of the price level, mean, and variance estimates for two sets of repeat sales real estate price indices: the WRS classical method and a PCA factorial method, as elaborated in Baroni, Barthélémy and Mokrane (2007). Our work can be seen as an extension of Clapham, Englund, Quigley and Redfearn (2006), with the aim of helping to judge of the efficiency of such indices in designing real estate derivatives contracts. We use an extensive repeat sales database for the Paris (France) residential market. We describe the dataset used and compute the parameters (drift and volatility) of the indices produced over the period 1982-2005. The aim here is to test the sensitivity of these two indices to revision due to additional repeat-sales transactions information. Our main conclusion is that the revision problem may cause serious concern for the stability of key parameters that are used as inputs in the pricing of derivatives contracts. The impact of index revision is important on the estimate of the index price level. This result is consistent with the finding of the existing literature for the US and Swedish markets. We also find that although the revision impact on the trend estimate can be important, the WRS method seems more robust and derivatives contracts such as swaps be still be conducted based such indices. Finally, and this is probably the most promising result, revision influence on volatility estimates seems to be less stringent, and according to the robustness of the volatility estimate, the BBM factorial index seems to fare relatively better than the WRS index. Hence, we conclude that the factorial index could better sustain volatility based derivatives such as call or put options."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d'Information, Data Analytics et Opérations"
"en" => "Information Systems, Data Analytics and Operations"
]
"indexedAt" => "2024-11-21T11:21:49.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.166562
+"parent": null
}
40 => Essec\Faculty\Model\Contribution {#2317
#_index: "academ_contributions"
#_id: "6583"
#_source: array:18 [
"id" => "6583"
"slug" => "long-term-inflation-hedging-properties-of-direct-real-estate-investment-a-methodology-to-study-inflations-protection-given-the-lease-structure-and-the-indexation-uses"
"yearMonth" => "2011-04"
"year" => "2011"
"title" => "Long-term Inflation Hedging Properties of Direct Real Estate Investment: A Methodology to Study Inflation's Protection Given the Lease Structure and the Indexation Uses"
"description" => "AMEDEE-MANESME, C.O., BARONI, M., BARTHELEMY, F. et DUPUY, E. (2011). Long-term Inflation Hedging Properties of Direct Real Estate Investment: A Methodology to Study Inflation's Protection Given the Lease Structure and the Indexation Uses. Dans: 27th Annual American Real Estate Society Meeting."
"authors" => array:4 [
0 => array:3 [
"name" => "BARONI Michel"
"bid" => "B00000023"
"slug" => "baroni-michel"
]
1 => array:2 [
"name" => "BARTHELEMY Fabrice"
"bid" => "B00006901"
]
2 => array:1 [
"name" => "AMEDEE-MANESME C.O."
]
3 => array:1 [
"name" => "DUPUY E."
]
]
"ouvrage" => "27th Annual American Real Estate Society Meeting"
"keywords" => []
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Systèmes d'Information, Data Analytics et Opérations"
"en" => "Information Systems, Data Analytics and Operations"
]
"indexedAt" => "2024-11-21T11:21:49.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.166562
+"parent": null
}
41 => Essec\Faculty\Model\Contribution {#2318
#_index: "academ_contributions"
#_id: "6651"
#_source: array:18 [
"id" => "6651"
"slug" => "market-heterogeneity-investment-risk-and-portfolio-allocation-applying-quantile-regression-to-the-paris-apartment-market"
"yearMonth" => "2015-06"
"year" => "2015"
"title" => "Market Heterogeneity, Investment Risk and Portfolio Allocation – Applying Quantile Regression to the Paris Apartment Market"
"description" => "AMÉDÉE-MANESME, C.O., BARONI, M., DES ROSIERS, F. et BARTHELEMY, F. (2015). Market Heterogeneity, Investment Risk and Portfolio Allocation – Applying Quantile Regression to the Paris Apartment Market. Dans: 32nd International Conference of the French Finance Association (AFFI)."
"authors" => array:4 [
0 => array:3 [
"name" => "BARONI Michel"
"bid" => "B00000023"
"slug" => "baroni-michel"
]
1 => array:2 [
"name" => "BARTHELEMY Fabrice"
"bid" => "B00006901"
]
2 => array:1 [
"name" => "AMÉDÉE-MANESME C.-O."
]
3 => array:1 [
"name" => "DES ROSIERS F."
]
]
"ouvrage" => "32nd International Conference of the French Finance Association (AFFI)"
"keywords" => []
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Systèmes d'Information, Data Analytics et Opérations"
"en" => "Information Systems, Data Analytics and Operations"
]
"indexedAt" => "2024-11-21T11:21:49.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.166562
+"parent": null
}
42 => Essec\Faculty\Model\Contribution {#2319
#_index: "academ_contributions"
#_id: "6714"
#_source: array:18 [
"id" => "6714"
"slug" => "monte-carlo-simulations-versus-dcf-in-real-estate-portfolio-valuation"
"yearMonth" => "2005-01"
"year" => "2005"
"title" => "Monte Carlo Simulations versus DCF in Real Estate Portfolio Valuation"
"description" => "BARONI, M., BARTHELEMY, F. et MOKRANE, M. (2005). Monte Carlo Simulations versus DCF in Real Estate Portfolio Valuation."
"authors" => array:3 [
0 => array:3 [
"name" => "BARONI Michel"
"bid" => "B00000023"
"slug" => "baroni-michel"
]
1 => array:2 [
"name" => "BARTHELEMY Fabrice"
"bid" => "B00006901"
]
2 => array:1 [
"name" => "MOKRANE M."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Ce document présente la façon d'utiliser des cash-flows simulés pour évaluer des actifs immobiliers réels. Nous montrons que l'on peut utiliser des méthodes de simulation de Monte-Carlo pour déterminer la valeur d'actifs immobiliers dont la génération de cash-flows est complexe. Les données principales de la simulation telles que l'estimation de la volatilité du prix des actifs réels, proviennent des résultats établis lors de l'élaboration d'un indice immobilier pour Paris, dans un article de Baroni, Barthélémy et Mokrane (2005). Etablis à partir d'un exemple de portefeuille immobilier, les cash-flows simulés permettent (i) d'élaborer des évaluations plus robustes que les évaluations traditionnelles résultant de méthodes de DCF, (ii) d'estimer la distribution du prix du portefeuille sur des horizons de détention variés (iii) et de calculer aisément des Values-at-Risk (VaR)."
"en" => "This paper considers the use of simulated cash flows to value assets in real estate investment. We motivate the use of Monte Carlo simulation methods for the measurement of complex cash generating assets such as real estate assets return distribution. Important simulation inputs, such as the physical real estate price volatility estimator, are provided by results on real estate indices for Paris derived in an article by Baroni, Barthélémy and Mokrane (2005). Based on a residential real estate portfolio example, simulated cash flows (i) provide more robust valuations than traditional DCF valuations, (ii) permit the user to estimate the portfolio's price distribution for any time horizon, and (iii) permit easy Values-at-Risk (VaR) computations."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d'Information, Data Analytics et Opérations"
"en" => "Information Systems, Data Analytics and Operations"
]
"indexedAt" => "2024-11-21T11:21:49.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.166562
+"parent": null
}
43 => Essec\Faculty\Model\Contribution {#2320
#_index: "academ_contributions"
#_id: "7076"
#_source: array:18 [
"id" => "7076"
"slug" => "risk-factors-for-the-physical-real-estate-a-factorial-index-for-the-paris-residential-market-and-its-comparison-to-existing-indices"
"yearMonth" => "2003-06"
"year" => "2003"
"title" => "Risk Factors for the Physical Real Estate: A Factorial Index for the Paris Residential Market and Its Comparison to Existing Indices"
"description" => "BARONI, M., BARTHELEMY, F. et MOKRANE, M. (2003). Risk Factors for the Physical Real Estate: A Factorial Index for the Paris Residential Market and Its Comparison to Existing Indices."
"authors" => array:3 [
0 => array:3 [
"name" => "BARONI Michel"
"bid" => "B00000023"
"slug" => "baroni-michel"
]
1 => array:2 [
"name" => "BARTHELEMY Fabrice"
"bid" => "B00006901"
]
2 => array:1 [
"name" => "MOKRANE M."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Une estimation de deux indices immobiliers par la méthode des ventes répétées est réalisée pour Paris et sa première banlieue: l'indice WRS de Case et Shiller et un indice factoriel. Ils sont ensuite comparées aux indices publiés existants: (i) l'indice au mètre carré moyen de la Chambre des Notaires/INSEE, (ii) les indices IPD, (iii) l'indice de l'immobilier coté. Il en ressort des conclusions intéressantes sur le risque immobilier et sur l'opportunité d'utiliser conjointement l'indice WRS et l'indice factoriel."
"en" => "Two repeat sales indices are estimated for the Paris and close surrounding area : a Case & Shiller (1987) Weighted Repeat Sales (WRS) index and a Factorial index. We compare them to different existing indices: (i) the square metre index provided by the Chambre des Notaires de Paris and INSEE, (ii) the IPD indices, (iii) the listed real estate index. Our conclusions yield interesting implications concerning real estate risk and suggest the construction of jointly using the repeat sales and the factorial approaches."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d'Information, Data Analytics et Opérations"
"en" => "Information Systems, Data Analytics and Operations"
]
"indexedAt" => "2024-11-21T11:21:49.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.166562
+"parent": null
}
44 => Essec\Faculty\Model\Contribution {#2321
#_index: "academ_contributions"
#_id: "7119"
#_source: array:18 [
"id" => "7119"
"slug" => "segmenting-the-paris-residential-market-according-to-temporal-evolution-and-housing-attributes"
"yearMonth" => "2009-06"
"year" => "2009"
"title" => "Segmenting the Paris Residential Market According to Temporal Evolution and Housing Attributes"
"description" => "BARONI, M., BARTHELEMY, F. et MOKRANE, M. (2009). Segmenting the Paris Residential Market According to Temporal Evolution and Housing Attributes. Dans: Annual Conference ERES 2009."
"authors" => array:3 [
0 => array:3 [
"name" => "BARONI Michel"
"bid" => "B00000023"
"slug" => "baroni-michel"
]
1 => array:2 [
"name" => "BARTHELEMY Fabrice"
"bid" => "B00006901"
]
2 => array:1 [
"name" => "MOKRANE M."
]
]
"ouvrage" => "Annual Conference ERES 2009"
"keywords" => array:2 [
0 => "Indices immobiliers"
1 => "Segmentation des marchés"
]
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Les similitudes et les différences dans les caractéristiques des immeuble des différents arrondissements de Paris sont mises en valeur par une approche spatio-temporelle. Alors que la méthode hédonique standard est appliquée aux immeubles et à leurs alentours pour définir les sous-marchés, les différences de prix sont mesurées à la fois par des indices hédoniques et les indices de ventes répétées. La segmentation est réalisée dans ce document de recherche pour les 20 arrondissements de Paris et les quartiers qu'ils comprennent. La base de données fournie par la Chambre des Notaires comprend les transactions immobilières sur la période 1990 à 2006. Chaque bien immobilier y est notamment décrit par son âge, sa taille, le nombre de pièces, la présence d'un garage, et le type de rue ou avenue à laquelle il appartient, ainsi que par des variables correspondant aux arrondissements et aux quartiers."
"en" => "In this paper, the similarities and differences in housing charateristics among the different "arrondissements" of Paris, France, are brought out using a twofold, spatio-temporal approach: while standard hedonic price modelling is applied to a series of building and neighbourhood attributes in order to define spatial submarkets, differentials in price appreciation over time are also measured using both hedonic and repeat sales indices.Spatial segmentation is performed on the 20 Paris "arrondissements" as well as on the 80 neighbourhoods, or "quartiers" (each "arrondissement" is composed of four "quartiers"), with cluster analysis being resorted to for that purpose. The database, which is provided by the Chambre des Notaires de France, includes cases spread over a 17 year period, that is from 1990 to 2006. Housing descriptors include, among other things, the building age, the apartment size and the number of rooms, the presence of a garage, the type of street and access to building (boulevard, square, alley, etc. as well as a series of location dumm variables standing for the "arrondissements" and "quartiers"."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d'Information, Data Analytics et Opérations"
"en" => "Information Systems, Data Analytics and Operations"
]
"indexedAt" => "2024-11-21T11:21:49.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.166562
+"parent": null
}
45 => Essec\Faculty\Model\Contribution {#2322
#_index: "academ_contributions"
#_id: "7120"
#_source: array:18 [
"id" => "7120"
"slug" => "segmenting-the-paris-residential-market-using-a-principal-component-analysis"
"yearMonth" => "2016-06"
"year" => "2016"
"title" => "Segmenting the Paris Residential Market Using a Principal Component Analysis"
"description" => "BARONI, M., AMEDEE-MANESME, C.O., BARTHELEMY, F. et DES ROSIERS, F. (2016). Segmenting the Paris Residential Market Using a Principal Component Analysis. Dans: 23rd Annual Conference European Real Estate Society (ERES)."
"authors" => array:4 [
0 => array:3 [
"name" => "BARONI Michel"
"bid" => "B00000023"
"slug" => "baroni-michel"
]
1 => array:2 [
"name" => "BARTHELEMY Fabrice"
"bid" => "B00006901"
]
2 => array:1 [
"name" => "AMEDEE-MANESME C.-O."
]
3 => array:1 [
"name" => "DES ROSIERS F."
]
]
"ouvrage" => "23rd Annual Conference European Real Estate Society (ERES)"
"keywords" => []
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Systèmes d'Information, Data Analytics et Opérations"
"en" => "Information Systems, Data Analytics and Operations"
]
"indexedAt" => "2024-11-21T11:21:49.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.166562
+"parent": null
}
]
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"docTitle" => "Michel BARONI"
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"docDescription" => "Département: Finance<br>Campus de Cergy"
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"docPreview" => "<img src="https://faculty.essec.edu/wp-content/uploads/avatars/B00000023.jpg"><span><span>Michel BARONI</span><span>B00000023</span></span>"
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