Introduction for REAL—Maastricht-MIT Special Issue
Seow Eng Ong
Published online: 27 February 2010
Springer Science+Business Media, LLC 2010
The 2008 Maastricht-MIT-NUS property Investment Symposium was held in
Maastricht at December 17–19 in Chateau St. Gerlach. In all, eight papers were
selected for presentation at the conference, and after the review process four papers
were accepted for publication in this special issue.
In their paper “Housing Price Dynamics in Time and Space: Predictability,
Liquidity and Investor Returns”, Min Hwang and John Quigley explore the
predictability of housing returns at the aggregated level and at the level of the
individual dwelling, using a database covering all condominium sales in Singapore
over an 11 year period. For this, they estimate a repeat sales house price index in an
innovative way, based on the notion that individual house prices may be predictable
in time and space, but not at the aggregate level. Traditional repeat sales house price
indices assume that individual house prices follow a random walk, are uncorrelated
in space, and generally suggest that aggregate housing returns are predictable.
Hwang and Quigley assume that individual house price errors are correlated in time
and space when estimating their house prices index. When aggregate housing returns
are calculated on the basis of this index, they are not predictable.
To add a little more spice to this issue’s offering for real estate price index
afficionado’s, the next paper is a contribution by Marc Francke of the University of
Amsterdam. His paper presents a new method of constructing a repeat-sales price
index which can be seen mathematically as a generalization of the major methods
previously presented in the literature. Francke’s method employs a local linear trend
to liberate the price index from the constraints of purely time-dummy based
specifications, enabling the index to be intriguingly robust to small sample sizes.
J Real Estate Finan Econ (2010) 41:1–2
University of Maastricht, Maastricht, Netherlands
D. Geltner (*)
Massachusetts Institute of Technology, Cambridge, MA, USA
S. E. Ong
National University of Singapore, Singapore, Singapore