| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP7358 |
| DP7358 Quantifying private benefits of control from a structural model of block trades | |
| Rui Albuquerque; Enrique Schroth | |
| 发表日期 | 2009-07-05 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | This paper 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 paper 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 dataset of art prices and on a dataset of real estate prices from the city of Amsterdam. |
| 主题 | Industrial Organization |
| 关键词 | Art Index Real estate Repeat sales |
| URL | https://cepr.org/publications/dp7358 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/536193 |
| 推荐引用方式 GB/T 7714 | Rui Albuquerque,Enrique Schroth. DP7358 Quantifying private benefits of control from a structural model of block trades. 2009. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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