Market Risk Factor and the Weighted Repeat Sales Method

• Published in: The Journal of real estate research Vol. 37; no. 1; pp. 1 - 22
• Main Authors: Cheng, Ping, He, Xin, Lin, Zhenguo, Liu, Yingchun
• Format: Journal Article
• Language: English
• Published: Clemson The American Real Estate Society 01.01.2015; Taylor & Francis Ltd
• Subjects: Economic dependence; Efficient markets; Estimating techniques; Estimation; Exchange; Financial risk; Futures; Housing; Housing prices; Market prices; Price indices; Real estate; Real estate appraisal; Real estate indices; Real estate market; Real estate markets; Real estate sales; Risk factors; Sales; Standard deviation; Studies; Systematic risk; Term weighting; Washington

In this paper, we identify a critical issue in the weighted repeat sales (WRS) method—the omission of market risk in the weight estimation model specified by Case and Shiller (1989). We demonstrate that the omission of market risk is conceptually unjustified. We propose a modified WRS model that is...