Repeat sales indexes : estimation without assuming that errors in asset returns are independently distributed / Rachel Campbell, Kathryn Graddy, Jonathan Hamilton Campbell, Rachel (Rachel Anne Jane), 1973-

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Author
Campbell, Rachel (Rachel Anne Jane), 1973-
Appears In
Real Estate Economics
Subjects
Rate of return.; Price indexes; Art - Prices - Netherlands - Amsterdam.
Audience
Academic
Summary
To authenticate to the full-text of this article, please visit this link: http://dx.doi.org/10.1111/j.1540-6229.2011.00307.x Byline: Kathryn Graddy (*), Jonathan Hamilton (**), Rachel Pownall (***) Abstract: This article proposes an alternative specification for the second stage of the Case-Shiller repeat-sales method. This specification is based on serial correlation in the deviations from the mean one-period returns on the underlying individual assets, whereas the original Case-Shiller method assumes that the deviations from mean returns by the underlying individual assets are i.i.d. The methodology proposed in this article is easy to implement and provides more accurate estimates of the standard errors of returns under serial correlation. The repeat-sales methodology is generally used to construct an index of prices or returns for unique, infrequently traded assets such as houses, art and musical instruments, which are likely to be prone to exhibit serial correlation in returns. We demonstrate our methodology on a data set of art prices and on a data set of real estate prices from the city of Amsterdam. Author Affiliation: (*)Department of Economics and International Business School, Brandeis University, Waltham, MA 02453 orkgraddy@brandeis.edu. (**)Department of Economics, University of Florida, Gainesville, FL 32611 orhamilton@ufl.edu. (***)Department of Finance, Maastricht University & Tilburg University, 6200 MD Maastricht, The Netherlands orr.pownall@maastrichtuniversity.nl.
Bookmark
http://trove.nla.gov.au/work/62333
Work ID
62333

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