Essec\Faculty\Model\Contribution {#6196
  #_index: "academ_contributions"
  #_id: "6248"
  #_source: array:26 [
    "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:1 [
        "name" => "BARTHELEMY Fabrice"
      ]
      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, Sciences de la Décision et Statistiques"
      "en" => "Information Systems, Decision Sciences and Statistics"
    ]
    "indexedAt" => "2024-04-19T19:22:02.000Z"
    "docTitle" => "Is it Possible to Construct Derivatives for the Paris Residential Market?"
    "docSurtitle" => "Communications dans une conférence"
    "authorNames" => "<a href="/cv/baroni-michel">BARONI Michel</a>, BARTHELEMY Fabrice, MOKRANE M."
    "docDescription" => "<span class="document-property-authors">BARONI Michel, BARTHELEMY Fabrice, MOKRANE M.</span><br><span class="document-property-authors_fields">Systèmes d’Information, Sciences de la Décision et Statistiques</span> | <span class="document-property-year">2007</span>"
    "keywordList" => "<a href="#">Dérivés immobilier</a>, <a href="#">Indice de ventes répétées</a>"
    "docPreview" => "<b>Is it Possible to Construct Derivatives for the Paris Residential Market?</b><br><span>2007-01 | Communications dans une conférence </span>"
    "docType" => "research"
    "publicationLink" => "<a href="#" target="_blank">Is it Possible to Construct Derivatives for the Paris Residential Market?</a>"
  ]
  +lang: "fr"
  +"_type": "_doc"
  +"_score": 8.177452
  +"parent": null
}