JSTOR is a not-for-profit service that helps scholars, researchers, and students discover, use, and build upon a wide range of content in a trusted digital archive. We use information technology and tools to increase productivity and facilitate new forms of scholarship. For more information about JSTOR, please contact support@jstor.org.. The MIT Press is collaborating with JSTOR to digitize, preserve and extend access to The Review of Economics and Statistics.Abstract-Several studies of housing price trends recommend confining statistical analysis to repeat sales of residential properties. Recently, price indices derived from these techniques have formed the basis for inferences about the "efficiency" of housing markets. This paper presents an improved methodology which combines information on repeat sales of unchanged properties, on repeat sales of improved properties, and on single sales, all in one joint estimation.Empirical evidence, based upon a rich sample of transactions on single family houses in a single neighborhood, indicates the clear advantages of the proposed methodology, at least in one typical application.
This paper compares housing price indices estimated using three models with several sets of property transaction data. The commonly used hedonic price model suffers from potential specification bias and inefficiency, while the weighted repeat-sales model presents potentially more serious bias and inefficiency problems. A hybrid model combining hedonic and repeat-sales equations avoids most of these sources of bias and inefficiency. This paper evaluates the performance of each type of model using a particularly rich local housing market database. The results, though ambiguous, appear to confirm the problems with the repeat sales model but suggest that systematic differences between repeat-transacting and single-transacting properties lead to bias in the hedonic and hybrid models as well. Copyright American Real Estate and Urban Economics Association.
The correlations among international real estate markets are surprisingly high, given the degree to which they are segmented. While industrial, office and retail properties exist all around the world, they are not economic substitutes because of locational specificity. In addition, the broad securitization of real estate property companies has, until recently, lagged that of other types of companies. Never-the-less, international property returns move together in dramatic fashion. In this paper, we use eleven years of global property returns to explore the factors influencing this comovement. We attribute a substantial amount of the correlation across world property markets to the effects of changes in GNP, suggesting that real estate is a bet on fundamental economic variables which are correlated across countries. A decomposition shows that a local production factor is more important in some countries than in others.
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