Curriculum vitae

Simon Arnaud

Maître de conférences
DRM

Arnaud.SIMONping@dauphinepong.fr
Tel : 01 44 05 44 90
Bureau : E704

Publicatons ` "

Articles

Torre A., Pham H., Simon A. (2015), The ex-ante impact of conflict over infrastructure settings on residential property values. The case of Paris's suburban zones, Urban Studies, 52, 13, p. 2404-2424

The presence of nearby public facilities has an impact on real-estate values; for this reason, the market may reasonably anticipate that public infrastructure projects will affect house prices. But undesirable and semi-desirable facility location choices may be contested by nearby residents, as they are a source of negative externalities or expectations. In Paris's suburban zones, opposition to these infrastructures is frequent, and the official announcement of a project does not automatically mean it will be implemented. Through three case studies, we explore the way in which the expectation mechanism is affected by legal conflicts driven by nearby residents. We suppose that expectations depend on the probability that a given project will be realised. The variation is captured by a hedonic model. As conflicts amplify or reduce the certainty of the new facility's arrival, market perceptions of the infrastructure vary.

Drouhin P-A., Essafi Y., Simon A. (2015), Forward Curve Risk Factors Analysis in the UK Real Estate Market, Journal of Real Estate Finance and Economics, 53, 4, p. 494-526

This paper empirically investigates the risk factors of the property swap prices using 4 years of price data relative to the UK Investment Property Databank (IPD) Total Return All Property Swap. The implied forward rates are analyzed with a first difference model to determine its main components.$Regapdyng the risk free rate, the traditional sport-forward relation does not hold for property deritativds& The impact of the risk free rate on forward rates appears as being complex and made of different effects; it varies according to time and maturities. Derivatives prices take into account the smoothing effect of the underlying index and REITs stocks are also relevant to explain these prices. The informational content of the swap is important. The impact of the REITs and of the smoothing decreases with maturities. The risk factor structure obtained is more complex than found in many other studies relative to commodities, securities or bonds. Possible reasons for this phenomenon are discussed.

Larceneux F., Lefebvre T., Simon A. (2014), The perspective of perceived transaction costs: an explanation of real estate intermediation, Revue d'économie régionale et urbaine, 3, p. 499-520

L'objectif de cette recherche est d'étudier les déterminants du recours aux solutions directes ou intermédiées sur le marché immobilier résidentiel français. La perspective théorique des coûts de transaction perçus fournit un cadre utile pour appréhender l'existence d'un mode de transaction dans le secteur immobilier. A partir de l'analyse de 4142 questionnaires portant sur des transactions effectivement réalisées, les modèles Logit mis en oeuvre montrent que l'intermédiation immobilière ne s'explique pas par les caractéristiques physiques ou spatiales du bien, ni par des variables socio-démographiques des acteurs, mais davantage par les perceptions qu'ont les acheteurs et vendeurs de l'intérêt des agents immobiliers et des bénéfices qu'ils peuvent en retirer. Six bénéfices perçus se révèlent pertinents pour mieux comprendre l'existence des agents immobiliers dans un contexte de nouvelles technologies où les relations directes sont aujourd'hui largement facilitées.

The aim of this research is to study the determinants of the use of direct versus intermediated solutions on the French housing market. The theoretical perspective of perceived transaction costs provides a useful framework for understanding the existence of a specific mode of transaction in real estate. From the analysis of 4142 questionnaires on transactions actually carried out, the logit models used show that the real estate intermediation can not be explained by physical or spatial characteristics of the property, or by socio-demographic variables, but more by perceptions of buyers and sellers in the interest of real estate agents and the benefits they can derive. Six perceived benefits prove relevant for understanding the existence of Realtors in the context of new technologies where direct relationships are now facilitated.

Drouhin P-A., Simon A. (2014), Are property derivatives a leading indicator of the real estate market?, Journal of European Real Estate Research, 7, 2, p. 158-180

Purpose - This paper aims to analyze the statistical characteristics of changes in property forward prices. As highlighted in a survey conducted at the MIT Center for Real Estate in 2006, the relatively weak understanding in their prices is one of the most important barriers in their use. In this context, the analysis of the forward price term structure is essential. Do the short- and long-term forward prices behave similarly? Do property derivatives behave like other derivative assets or other related assets? This study also investigates the lead-lag relationship between spot and forward returns for different maturities. Design/methodology/approach - Using four years and nine months of data on the UK Investment Property Databank (IPD), all property total return swaps are examined. We strip the swaps into their forwards and study their statistical characteristics (the first four moments and their autocorrelation levels). The relationships among the forward contracts, the underlying asset (IPD index and IPD unsmoothed) and other assets (risk-free rate, listed real estate) are explored. Using the Yiu et al. (2005) methodology, the lead-lag relationship between the spot and the forwards is assessed. Findings - The index appears to be significantly less volatile and less efficient, in terms of correlation than its own derivative contracts. Moreover, changes in forward prices are leading indicators of the IPD index. Their risks tend to converge with the implied volatility of the REIT's operating asset but without being affected by the general stock market risks. Regarding the forward price-discovery function, investors should collect information not only from the spot market but also, maybe primarily, from the derivative market. Originality/value - In this paper, we use a never-exploited database that is relative to the quotes of the UK IPD swaps. It is the first attempt to analyze the statistical characteristics of their changes. Our results show that these prices are clearly superior to the spot series, in terms of risks but without behaving affected by the tyranny of the past values. These findings may conduct to consider new methods to unsmooth current real estate indices. Characterized by a strong sensitivity to the changes in the information set, property derivative-based indicators should lead to increased efficiency in the spot market.

Raynouard A., Ramond O., Gueguen S. (2013), Déclaration de franchissement de seuil et contrats d'equity swap : éléments de réflexion sur les évolutions en droit interne et communautaire, Bulletin Joly bourse et produits financiers, 9, p. 439-446

Singh S., Sedki M., Jasra A., Pudlo P., Robert C., Lee A., Marin J-M., Kosmidis I., Girolami M., Andrieu C., Cornebise J., Doucet A., Barthelme S., Chopin N. (2012), Some discussions of D. Fearnhead and D. Prangle's Read Paper "Constructing summary statistics for approximate Bayesian computation: semi-automatic approximate Bayesian computation", Journal of the Royal Statistical Society. Series B, Statistical Methodology

This report is a collection of comments on the Read Paper of Fearnhead and Prangle (2011), to appear in the Journal of the Royal Statistical Society Series B, along with a reply from the authors.

Simon A., Violand W., Kasbi S. (2011), Real estate brokers: do they inflate housing prices? The case of France, Bankers, Markets & Investors, 111, p. 27-41

The article discusses a study which investigates the impact of real estate brokers on the price of residential properties sold in 2077 in France. The results show that brokers modify the prices of properties they sell. It stresses that the price impact of brokers varies by the property size and the socio-occupational categories of the buyer. It also suggests that the age, the localization,and the construction period are the main determinants of the decision to use real estate brokers.

Simon A. (2009), Une nouvelle ère dans le domaine de l'information immobilière : la révolution de la géolocalisation, L'Observateur de l'immobilier

Que signifie « informer » lorsque l'on aborde les prix de l'immobilier résidentiel ? Contrairement au marché action pour lequel il suffit de consulter des cotations, le prix de marché de l'immobilier semble être une notion dont la connaissance n'est pas aisée. En témoigne le malaise, plus ou moins entretenu, à ce sujet dans le grand public et la méfiance/défiance qu'il implique. Il convient donc de préciser et de rendre explicite certains éléments conceptuels simples qui aideront à s'orienter.

Simon A. (2009), Quantifying the reversibility phenomenon for the repeat-sales index, The Journal of real estate research, 31, 1, p. 27-62

The reversibility phenomenon in the repeat-sales index is a serious obstacle for derivatives products. This article provides a solution for this problem, using an informational reformulation of the RSI framework. We present first a theoretical formula (simple, easy to interpret, and easy to handle) and then implement it. For the derivatives our technique has strong implications for the choice of underlying index and contract settlement. Even if reversibility of the RSI is probably higher compared with the hedonic approach, this index remains a challenger because of the predictability and quantifiability of its revisions.

Juillard C., Cusin F., Burckel D., Simon A. (2008), Les déterminants de la valeur des appartements : Une approche hédoniste, Etudes Foncières, 136, p. 7-10

La mise en relation des prix des logements et de leurs différentes caractéristiques (les localisations, mais aussi les types de biens et même les types d'acteurs) est rendue possible par le traitement statistique des bases de données. Un nouveau champ d'investigation pour mieux comprendre les ressorts du marché des logements.

Simon A. (2005), Les modèles d'évaluation financière s'appliquent-ils à l'immobilier ?, Réflexions immobilières

A l'heure où l'on assiste à une certaine financiarisation l'immobilier, il peut exister la tentation de plaquer les modèles financiers classiques directement sur cet actif, sans prêter trop d'attention à ses particularités. Or, l'utilisation de méthodes financières insuffisamment ancrées dans les caractéristiques réelles de l'immobilier peut conduire à des erreurs non négligeables. Pour illustrer cet écueil, cet article examine les raisons qui rendent délicates l'application directe de la théorie classique des options aux prêts immobiliers hypothécaires. La finance immobilière ne consiste pas à appliquer aveuglement des modèles établis pour d'autres catégories de titres. Pour être pertinente elle doit prendre en compte les spécificités de cet actif, d'autant plus incontournables que l'immobilier ne s'échange pas sur des marchés « parfaits ».

Ouvrages

Malle R., Simon A. (2009), Introduction à la finance et à l'économie de l'immobilier, Paris, Economica, 108 p.

Il est maintenant convenu de dire que l'immobilier s'est financiarisé. Mais que recouvre exactement ce terme ? Ce livre se donne pour objectif de répondre à cette question en développant des éléments de culture générale immobilière, en présentant les différentes méthodes et problématiques financières et en essayant de positionner l'investissement immobilier par rapport aux autres pans de la finance moderne.

Chapitres d'ouvrage

Charpentier L., Dubois C., Heno G., Mahboub A., Simon A. (2014), L'immobilier, support d'investissement, in Burckel D. (dir.), Management de l'immobilier, Paris, Vuibert, p. 305-328

Burckel D., Chavanel O., Lemoyne M., Ould Brahim A., Simon A., Tannenbaum P. (2014), La détention d'actifs immobiliers, in Burckel D. (dir.), Management de l'immobilier, Paris, Vuibert, p. 329-346

Simon A. (2009), L'immobilier : pas si immobile..., in Pezet A. (dir.), L'état des entreprises 2010, Paris, La Découverte, p. 64-73

Quelles sont donc les nouveautés et les voies à explorer dans le domaine de l'investissement en immobilier résidentiel actuellement ? Quelles sont les moyens pour faire mieux avec ? Nous en verrons deux : les produits dérivés sur indices immobiliers et les systèmes de géolocalisation et d'analyse des marchés locaux - Gérer et connaître le risque - Ces deux éléments témoignent d'une dimension quantitative nette et d'un véritable saut technologique.

Communications

Larceneux F., Lefebvre T., Simon A. (2014), Perceived transactions costs: an explanation of the real estate brokerage, 21st Annual European Real Estate Society Conference - ERES 2014, Bucarest, Roumanie

The objective of this research is to study the determinants of the use of intermediated solutions by homeowners. The theoretical perspective of perceived transaction costs provides a relevant framework for understanding the existence of this type of transaction in the real estate sector. From a survey, a large and novel database was collected : 3992 responses relating to effective completed transactions in the French Real Estate Market. A conceptual framework based on expected earnings tested empirically shows that five major reasons explain today the real estate brokerage. Three commercial arguments used by real estate agents to convince their owners entrust their mandates are explored as influencing the choice of the type of transaction via the mediation of the five perceived benefits.These results may be useful to brokers in order to improve their communication toward consumers both mentioning the perceived benefits and illustrating them with concrete commercial statements linked with them. Estate agents get new opportunities to transform their economic model, no longer basing their business solely on the informational advantage, but on a more general proposal of agency services that certain decision-makers perceive as useful.

Simon A., Shrikum P. (2011), Spatial and Temporal Non-Stationary Semivariogram Analysis Using Real Estate transaction Data, AsRES/AREUEA International Conference, Jeju, Corée du Sud

Drouhin P-A., Simon A. (2011), Forward Curve dynamics in the UK Real Estate Market, AsRES/AREUEA International Conference, Jeju, Corée du Sud

This paper is the first attempt to emprically analyze the statistical characteristic of property swap prices and to investigate on their risk factors. Four yaers of price data on the UK Investment Property Data bank (IPD) Total Return Swap All Property are analyzed. The choice of the UK marketis justified by the fact that this market is the most mature, although recent, all over the world. The forwrd curves are derived using a bootstrap method and the statistical characteristics are analyzed ; a first difference-model is used to determine its main components. Dynamics of the forward curves are important for practitioners pricing and hedging derivatives contracts. The factors structure, in real estate forward curves, is more complex than found in many other studies relative to commodities, securities or bond. Possible reasons for phenomenon are discussed.

Simon A., Srikhum P. (2010), Non-Stationary Semivariogram Analysis Using Real Estate Transaction Data, ERES 2010, Milan, Italie

Geostatistical model is one of spatial statistical methodologies used for correcting spatial autocorrelation problem. To apply this model, two common assumptions should be made to allow global homogeneity: spatial continuity and spatial stationary. In different fields of research such as geography, environmental science and computer science, they usually take into account a violation of the second assumption (spatial stationary) but no article works under non-stationary condition in real estate research fields. This article is probably a first attempt to examine the violation of stationary assumption, in term of time and space, using transaction prices, from 1998 to 2007, of Parisian properties situated 5 kilometers around Arc de Triomphe. By comparing estimated 1-year semivariogram to 10-years semivariogram function, we found evidence of non-time-stationary. Likewise, non-spatial-stationary problem was detected by segmenting data in 90 degrees rotating windows. Our results show that we should not compute a common variogram for all parts of the region of interest.

Pham H., Simon A., Torre A. (2010), The impact of infrastructure setting litigation on residential property values in Paris's suburban zones, 17th annual international conference of the European Real Estate Society (ERES 2010), Milan, Italie

The presence of nearby public facility contributes to real-estate's value, that's why the market may expect impact of public project on house's price. But undesirable and semi-desirable facility location choices can be contested by close inhabitants, because they are source of negative externalities or negative expectations. In suburban zones of Paris's agglomeration, the oppositions to these infrastructures become frequent, and an official project's announce does not mean automatically its implementation. Through 3 case studies, we explore the way the expectation mechanism is affected by legal conflicts driven by close inhabitants. We suppose that the expectation process depends on the to-be-realized-chance of the project. As the conflict activities amplify or reduce the certainty on the new facility's arrival, market's perception on the infrastructure varies among the different periods of conflicts. The variation is captured by our hedonic model.

Simon A., Srikhum P. (2010), Geographical Diversification Through Spatial Autocorrelation Analysis Of Paris Residential Market, 17th Annual ERES Conference, Milan, Italie

The development of information and communication technologies (Internet, databases...) reduces the barriers of investment. Consequently, investors now have a wealth of opportunities available for diversifying their real estate portfolio geographically. However, neighborhoods residential properties tend to have similar price evolution because they have the same structural characteristics and share location amenities. The previous studies often confirm a degree of spatial autocorrelation (positive or very positive autocorrelation) between neighboring properties. Hence, the real estate diversification between predefined regions, based on administrative boundary (arrondissement) is rarely optimal. Differences from the administrative segmentation, this study analyzes the relevance of a new segmentation of Paris housing markets that could improve the geographical diversification performance. By applying the spatial econometrics techniques based on the notary's data of 35206 apartments' transaction in Paris in 2007, we attempt to use residual spatial autocorrelation information to redefine new market segmentation. This geographical boundary allows the properties to determine their submarket structure and to eliminate the spatial autocorrelation problem between submarket. We find a low spatial autocorrelation of properties belonging to different submarkets. According to this study, the diversified portfolios based on this structure show probably more efficient than the previous literatures established on the traditional administrative segmentation.

Simon A. (2007), Quantifying the Reversibility Phenomenon for the Repeat-Sales Index, European real estate society ERES 2007- International conference of the American Real Estate and Urban Economics Association 2007, Londres - Macao, Royaume-Uni

The reversibility phenomenon for the repeat-sales index (RSI) is a serious obstacle for the derivatives products; it could hinder their introduction or their success. It is also an undesirable characteristic for the management of the real estate risk. This article provides a general solution for this problem, using an informational reformulation of the RSI framework. We present first a theoretical formula, easy to interpret and easy to handle, before implementing it. Our methodology is robust in the sense that its conclusions are not conditioned by any specific dataset; moreover, the numerical estimations of the reversibility percentages are reliable. For the derivatives our technique has strong implications for the choice of the underlying index. Indeed, even if the reversibility of the RSI is probably higher compared to the hedonic one, this index remains a challenger because of the predictability and the quantifiability of its revisions.

Simon A. (2006), Financial Models and Real Estate, 12th Annual European Real Estate Society Conference, Dublin, Irlande

For some years, real estate and finance have become more and more interlinked. The application of the powerful tools developed in finance for this field of knowledge seems promising ; mortgage valuation method developed by Kau, Keenan, Muller, Epperson (1992) being a major example of this. This article has applied arbitrage theory with two state variables (a rate and a house process) for pricing a mortgage considered as a contingent claim made of a loan, a prepayment option and a default option. Some well-known arguments lead to a valuation's PDE (partial differential equation) solved numerically. The concepts used in finance are built on market reality and assumptions made in stochastic calculus relying on the possibility of actual operations; for example the hedging or the concrete exploitations of arbitrage opportunities when they appear. These hypotheses are not purely formal or only useful for solving a mathematical problem; they are leaning on the distinctive characteristics of the studied object. The purpose of this article is to re-examine the use of financial models in the light of specific features of real estate in order to see if the requirements of theory are entirely satisfied with this particular asset. This paper is organized as follows. After a literature review of the optional models for mortgages, the demonstration leading to the fundamental valuation's PDE is recalled, trying to be as explicit as possible whenever a market assumption is necessary. Then the theoretic requirements are discussed, confronting them to the actual situation of the real estates. Does the riskless portfolio exist when dealing with buildings ? Does arbitrage activity exist and which assets could be chosen for realising an arbitrage portfolio ? Numerous difficulties appear making a blind application of this PDE model rather doubtful. In order to better understand the size of a potential mispricing, one of the difficulties relating to the valuation of contingent claims depending on a real estate is studied. To this end a simplified reverse mortgage is presented and the impact of the appraisal accuracy (concerning the house associated to this contract) is studied for the put option embedded in the mortgage. Usually, estimation can be considered correct if it stays within -10% and 10% of the real price. This accuracy is very reasonable when valuing such a complicated asset as a house; but unfortunately this good appraisal quality is going to produce a bad financial quality for the put's pricing. Results show that errors can be very important, up to 100 %; the leverage effect of an option acting as a noise amplifier.

Documents de travail

Simon A., Essafi Y. (2015), Concurrence générationnelle et prix immobiliers,, 25

Les français préparent leur retraite en devenant propriétaires. La coïncidence entre 1995 et 2010 d'un grand nombre de futurs retraités avec la très forte hausse des prix du résidentiel est-elle fortuite ? Dans cet article, des éléments temporels et géographiques complétés par un modèle de panel, tendent au contraire à confirmer l'existence d'une relation causale. Le 'baby-boom', devenu maintenant un 'papy-boom', fournit une situation d'étude intéressante pour mesurer le lien entre structure démographique d'une population et prix immobilier. Cette relation est robuste et assez générale ; des nuances locales existent mais elles se manifestent simplement par une plus ou moins grande force du phénomène. La prise en compte de ce facteur explicatif fait de plus apparaitre comme minimes les effets des taux et de la construction. Il semble alors possible de mettre en rapport l'histoire des prix immobiliers sur les quarante dernières années avec le déplacement et le vieillissement des cohortes issues du baby-boom. Dans le contexte actuel de 'papy-boom', le modèle suggère que ce facteur de structure pourrait engendrer une lente baisse des prix (à population constante). Toutefois, une question se pose dès aujourd'hui, et cela depuis plusieurs années, à savoir celle d'une concurrence intergénérationnelle ; le développement des subprimes entre 2003 et 2007 pouvant même être interprété comme le symptôme d'une inégalité intergénérationnelle. Alors que près de 80% des retraités sont propriétaires, Il s'ensuit que l'orientation pro 'papy-boomers' de la politique fiscale mérite d'être interrogée. Le parc résidentiel pouvant être estimé aujourd'hui à 6 000 milliards d'euros, on ne saurait le considérer comme un hors-bilan. Déflation, austérité et 'papy-boom' ne seraient-ils pas en fait des synonymes ?

Simon A. (2014), Crise du logement et identification hystérique,, 20

Le " La crise du logement ! " est un signifiant qui circule puissamment. Bien que l'évidence d'une telle crise soit assez discutable, il s'affirme, indépendamment. Certains traits de ce discours indiquent qu'il porte plus que lui-même, il est l'un des avatars contemporains du Malaise dans la Culture. Ce qui lui permet d'opérer est l'identification hystérique, et cela n'est pas sans porter à conséquences sur les présupposés économiques et politiques classiques. Ce discours met en scène le fantasme d'une raclée désirée. Il se manifeste en rapport avec les questions de la filiation et de l'égalité générationnelle.

Larceneux F., Lefebvre T., Simon A. (2014), What added value of Estate Agents compared to FSBO transaction? Explanation from a perceived advantages model,, 31 p.

This paper aims at explaining the determinants of using an estate agent vs. conducting a private sale on the French housing market. From a survey that collected 4,142 responses relating to effective completed transactions, the results show that the decision of whether to use an estate agent is not explained by the physical or spatial features of the property or socio-demographic variables. But by buyers' and sellers' heterogeneous perceptions of whether it is worthwhile to use estate agents, of how far they feel themselves having market expertise, and their wish to complete quickly. Five perceived transaction costs explain why buyers and sellers use brokerage intermediation, in a consumer's standpoint.

Barthelme S., Doucet A., Jacob P., Beffy M., Chopin N., Johansen A., Marin J-M., Robert C. (2011), Discussions on "Riemann manifold Langevin and Hamiltonian Monte Carlo methods",, Paris, Université Paris-Dauphine, 6

This is a collection of discussions of 'Riemann manifold Langevin and Hamiltonian Monte Carlo methods" by Girolami and Calderhead, to appear in the Journal of the Royal Statistical Society, Series B.

Violand W., Simon A. (2011), Real estate brokers: do they inflate housing prices? The case of France,, 36

This study examines the impact of real estate brokers on the price of residential properties sold in 2005 in twelve French cities. The results indicate that brokers increase the prices of properties they sell even though they appear to have heterogeneous behaviours across cities. The impact of brokers also varies by property size and age of clients. One and two room apartments have higher selling prices when sold through brokers. Buyers in their thirties and forties who seek the assistance of brokers pay more for their homes whereas older sellers obtain higher prices from broker intermediation.

Pham H., Torre A., Simon A. (2010), L'impact des projets d'infrastructures urbaines sur la valeur des biens immobiliers. Une analyse des variations des prix à partir de deux cas d'étude de conflits en Ile-de-France,, Paris, Université Paris-Dauphine

Cet article cherche à analyser la conflictualité liée aux projets d'infrastructures polluantes ou semi-polluantes jugées nécessaires au développement urbain et à juger du lien entre ces conflits et les variations de prix constatées sur le marché des biens immobiliers. Le travail porte sur deux cas de conflit correspondant à des projets d'infrastructures contestées en Ile-de-France. Nous utilisons un modèle de prix hédoniques qui estime le changement de prix au cours des différentes périodes de conflit. Ces dernières portent toutes sur la phase de pré-réalisation du projet, au cours de laquelle les riverains se mobilisent, en particulier auprès des tribunaux. La première Partie est consacrée à une étude de la conflictualité liée aux usages de l'espace en zones périurbaines, avec une réflexion sur le statut des conflits d'infrastructures et leur place en Ile-de-France. La deuxième Partie présente les cas d'étude: l'installation d'un incinérateur et le projet de déviation d'une Route Départementale. La troisième Partie présente le modèle de prix hédoniques et les données utilisées pour analyser l'impact des conflits sur les prix des habitations. La dernière partie donne les principaux résultats et les commente. Il apparait que les conflits ont un impact sur les prix, mais seulement à partir d'un évènement déclencheur tel que le jugement du tribunal autorisant l'installation de l'infrastructure.

Simon A. (2009), Arbitrage models and mortgage options pricing ; a critical approach.,, Paris, Université Paris-Dauphine, 43

In this paper we examine the applicability of arbitrage theory to real estate. Arbitrage theory has been applied to the valuation of mortgages using partial differential equations, however the implicit assumptions made are problematic when applied to real estate. The latter is a very complex financial asset, and for instance, for the case of default options, one could produce very large errors (even up to 100%) by applying - unwisely - conventional arbitrage theory techniques. The consequences of real estate appraisal are in this paper studied in particular. Because one has encountered similar problems in real options theory as in real estate, the tools developed in that field could probably well adapt to real estate; we provide here an example. Finally the possibility of pricing contingent claims written on properties is discussed.

Simon A. (2009), Boundary effects and repeat-sales,, Paris, Université Paris-Dauphine, 49

We study in this article the consequences of the double censoring (right and left) applied on every sample of repeat-sales before calculating a repeat-sales index. We show that, independently of the specificities of each dataset, there exist some intrinsic features for this kind of index that directly depend on the censoring mechanism. Working with the standard deviation of the estimator and the well known bias of the Cass, Shiller model we bring to fore a time structure for these two quantities. Their behaviour is different near the edges of the interval compared to the middle, and this phenomenon is generally more pronounced for the right side than for the left side. A sensitivity analysis is developed using a "neutral sample" in order to study the way this U-shape evolve in relation with the fundamental parameters. With this analysis we also try to determine the optimal length of the estimation interval, the consequences of the data dispersion and the impact of the liquidity levels in the market (number of goods sold at each date and resale speed).

Simon A. (2007), Information and repeat-sales,, Paris, Université Paris-Dauphine, 58

What is the informational structure of the repeat-sales index? In this article we answer it, deconstructing the global index in its building blocks. As by-products of this reformulation we establish very simple and intuitive formulas for the volatility of the index and the reversibility phenomenon. We study the formal link between the repeat-sales index and the price indexes (median, hedonic...). We introduce a methodology of data analysis that improves greatly the extraction of the information embedded in a dataset. At last, we give some elements for a more general theory of the informational repeat-sales indexes.

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