Personne : Des Rosiers, François
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Des Rosiers
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François
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Université Laval. Département de finance, assurance et immobilier
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Publication Accès libre Market heterogeneity, investment risk and portfolio allocation : applying quantile regression to the Paris apartment market(Emerald Publishing Limited, 2017-10-02) Des Rosiers, François; Baroni, Michel; Amédée-Manesme, Charles-Olivier; Barthélémy, FabricePurpose : The purpose of this paper is to address the heterogeneity of real estate assets with regard to investment risk measurement, with Paris’ apartment market as a case study. Design/methodology/approach : Quantile regression is used to handle the fact that willingness to pay for housing attributes may vary greatly over both space and asset value categories. The method is alternately applied on central and peripheral districts of Paris, or “arrondissements”, with hedonic indices built for nine deciles over a 17-year period (1990-2006). Portfolio allocation is subsequently analysed with deciles being the assets. Findings : The findings suggest that during the slump, peripheral districts show better resilience and define the efficient frontier while also exhibiting a lower volatility. In addition, higher returns are observed for lower-priced apartments, both central and peripheral. During the recovery and boom stages of the cycle, the highest returns are experienced for the cheapest apartments in central locations, whereas upper-priced, centrally located units yield the lowest returns. Originality/value : The originality of this research resides in the application of quantile regression in a real estate investment and risk management context. The methodology may raise individual investors’ and practitioners’ attention, especially index providers’.Publication Accès libre The pricing of embedded lease options(Academic Press, 2015-10-24) Grégoire, Philippe; Des Rosiers, François; Amédée-Manesme, Charles-OlivierOffice leases are generally agreed upon for extended terms, with possible options to leave or to renew in favor of the tenant. Tenants who have no options during the life of their lease expect to pay a lower rent than those who do. In this letter, we built up a conceptual framework based on binomial tree for the pricing of options embedded in a lease contract. Results show that lease options are dependent upon market rents volatility.Publication Accès libre Market heterogeneity and the determinants of Paris apartment prices : a quantile regression approach(Sage, 2016-09-01) Des Rosiers, François; Baroni, Michel; Amédée-Manesme, Charles-Olivier; Barthélémy, FabriceIn this paper, the heterogeneity of the Paris apartment market is addressed. For this purpose, quantile regression is applied – with market segmentation based on price deciles – and the hedonic price of housing attributes is computed for various price segments of the market. The approach is applied to a major data set managed by the Paris region notary office (Chambre des Notaires d’Île de France), which consists of approximately 156,000 transactions over the 2000–2006 period. Although spatial econometric methods could not be applied owing to the unavailability of geocodes, spatial dependence effects are shown to be adequately accounted for through an array of 80 location dummy variables. The findings suggest that the relative hedonic prices of several housing attributes differ significantly among deciles. In particular, the elasticity coefficient of the apartment size variable, which is 1.09 for the cheapest units, is down to 1.03 for the most expensive ones. The unit floor level, the number of indoor parking slots, as well as several neighbourhood attributes and location dummies all exhibit substantial implicit price fluctuations among deciles. Finally, the lower the apartment price, the higher the potential for price appreciation over time. While enhancing our understanding of the complex market dynamics that underlie residential choices in a major metropolis such as Paris, this research provides empirical evidence that the QR approach adequately captures heterogeneity among house price ranges, which simultaneously applies to housing stock, historical construct and social fabricPublication Restreint Commuter rail accessibility and house values : the case of the Montreal South Shore, Canada, 1992–2009(Elsevier Ltd., 2013-08-17) Thériault, Marius; Des Rosiers, François; Dubé, JeanWhile public transportation (PT) plays a crucial role in the social and environmental dimensions, its impacts on the location rent remain poorly known. However, there is a strong connection between PT infrastructures and real estate markets since the former may generate externalities that can influence sales prices. This paper aims at estimating the actual effect of implementing a commuter train service between a major city (Montreal, Canada) and its southern periphery occurring in 2000–2003. Using a difference-in-differences (DID) estimator in the hedonic price model for single-family house sales between 1992 and 2009, the paper estimates the direct marginal price impact of a new commuter train service following changes in access to stations. Results suggest that the opening of a new commuter train service on the Montreal South Shore generates a location premium for houses located in the stations’ vicinity (as measured through walking distance and car driving time) as opposed to houses that do not experience any improvement in accessibility to the commuter train service, either in space or in time. In addition, the new service raises property tax income for involved municipalities by several million dollars a year through enhanced property valuesPublication Restreint Using a fourier polynomial expansion to generate a spatial predictor(Emerald, 2012-06-06) Thériault, Marius; Des Rosiers, François; Dubé, JeanPurpose Spatial autocorrelation in regression residuals is a major issue for the modeller because it disturbs parameter estimates and invalidates the reliability of conclusions drawn from models. The purpose of this paper is to develop an approach which generates new spatial predictors that can be mapped and qualitatively analysed while controlling for spatial autocorrelation among residuals. Design/methodology/approach This paper explores an alternate approach using a Fourier polynomial function based on geographical coordinates to construct an additional spatial predictor that allows to capture the latent spatial pattern hidden among residuals. An empirical validation based on hedonic modelling of sale prices variation using a large dataset of house transactions is provided. Findings Results show that the spatial autocorrelation problem is under control as shown by low Moran's I indexes. Moreover, this geo‐statistical approach provides coefficients on environmental amenities that are still highly significant by capturing only the remaining spatial autocorrelation. Originality/value The originality of this paper relies on the development of a new model that allows considering, simultaneously spatial and time dimension while measuring the marginal impact of environmental amenities on house prices avoiding competition with the weight matrix needed in most spatial econometric models.Publication Accès libre La perception spatio-temporelle de l’accessibilité automobile aux services urbains : mesures pour la ville de Québec, 1993-2004(CNRS-UMR, 2012-11-26) Thériault, Marius; Des Rosiers, François; Voisin, Marion; Dubé, JeanPublication Restreint Economic impact of a supply change in mass transit in urban areas : a Canadian example(Elsevier, 2010-10-13) Thériault, Marius; Des Rosiers, François; Dubé, Jean; Dib, PatriciaThis paper aims at estimating the economic impact of a supply change in the bus transit service in a Canadian city of medium size. By using a quasi-experiment approach and a difference-in-differences (DID) estimator, it evaluates the impact of the introduction of a rapid bus transit (RBT) in Quebec City (Canada) through a spatio-temporal analysis of house price variations. The hedonic price model shows that the new service generates an increase in house price ranging from 6.9% to 2.9%, for those properties located close to the service corridor where the population is quite dense and where the service was offered initially. Using sales transaction data and municipal assessment records from 1997, the effect on price is translated into an economic impact for the whole region. The paper shows that the improvement in public transit supply generates, for Quebec City, a significant fiscal impact estimated to $6 M and a plus-value for properties owners close to $35 M over 12 years. Finally, the implications of this kind of analysis for urban planning and development are discussed.Publication Accès libre Segmentation spatiale et choix de la forme fonctionnelle en modélisation hédonique(Armand Colin, 2011-06-27) Thériault, Marius; Des Rosiers, François; Dubé, JeanCet article propose différentes façons d’intégrer l’hétérogénéité spatiale dans l’équation de prix hédonique en utilisant un modèle emboîté. À partir d’une définition préalable de sous-marchés, différents types de modèles sont estimés pour la ville de Québec. Si les différentes options considérées sont au moins préférables à l’approche classique étant donné la variation spatiale de certaines contributions marginales des attributs résidentiels, rien n’indique pour autant que le modèle le plus désagrégé s’avère nécessairement le meilleur outil de modélisation. Nous montrons comment un modèle log-linéaire simple peut être amélioré en introduisant des effets fixes reliés aux différences structurelles et historiques des sous-marchés. Si cette approche ne règle pas en totalité les problèmes associés au modèle de prix hédonique classique, elle en diminue largement l’impact, tout en assurant une stabilité des coefficients associés aux attributs physiques de la propriété.Publication Restreint Le choix de la forme fonctionnelle dans la théorie hédonique : retour sur un vieux débat(Regional and Urban Studies Centre, Institute of Public Affairs, Dalhousie University, 2011-12-15) Thériault, Marius; Des Rosiers, François; Dubé, JeanCet article reprend un vieux débat lié au choix de la forme fonctionnelle paramétrique adaptée pour spécifier l’équation de prix hédonique. Bien que la transformation proposée par Box & Cox (1964) soit générique et permette de normaliser les distributions des variables dépendante et indépendantes, son utilisation a été très limitée durant les dernières décennies, cédant la place aux formes fonctionnelles classiques de type loglinéaire, semi-log et linéaire. Grâce à une série de tests portant sur le pouvoir prédictif de plusieurs formes de modèle et sur le comportement de leurs résidus, cette recherche vise à vérifier s’il est possible d’identifier, avec les marchés résidentiels unifamiliaux de la ville de Québec comme étude de cas, une forme fonctionnelle supérieure aux autres. Les résultats montrent que la spécification log-linéaire demeure, parmi les alternatives étudiées, une forme fonctionnelle paramétrique intéressante étant donné ses performances et sa simplicité d’interprétation. Par ailleurs, des régressions auxiliaires sur les résidus permettent d’identifier quelques problèmes liés à l’estimation des coefficients avec l’approche des moindres carrés ordinaires. L’article se termine par une réflexion sur la méthode d’estimation qui devrait être explorée dans les recherches futures.Publication Restreint Do peer effects shape property values?(Emerald, 2011-09-01) Thériault, Marius; Des Rosiers, François; Dubé, JeanPurpose Both hedonics and the traditional sales comparison approach are derived from a similar paradigm with respect to how prices, hence market values, are determined. While the hedonic approach can provide reliable estimates of individual attributes' marginal contribution, it may – unlike the sales comparison approach – underestimate the prominent influence that surrounding properties exert on any given nearby housing unit and sale price. This paper seeks to develop a simple method for reconciling the two approaches within a rigorous conceptual and methodological framework. Design/methodology/approach Peer effect models, an analytical device developed, and mainly used, by labour economists, are adapted to the hedonic price equation so as to incorporate nearby properties' influences, thereby controlling for non‐observable neighbourhood effects. In addition to basic, intrinsic, building and land attributes, the ensuing model accounts for three types of effects, namely endogenous interactions effects (i.e. comparable sales influences, or peer effects), exogenous, or neighbourhood, effects and, finally, spatial autocorrelation effects. Findings Preliminary findings suggest that integrating peer effects in the hedonic equation allows bringing out the combined impacts of endogenous, exogenous and spatially correlated effects in the house price determination process, with spatial autocorrelation of model residuals being significantly reduced, even without resorting to a spatial autoregressive procedure. Research limitations/implications Further investigation is still needed in order to find out which submarket delineation should be used to obtain optimal model performances. Originality/value The paper leads to the conclusion that the comparable sales approach, as used in traditional appraisal practice, is valid, although its application is typically flawed by the too small sample size generally used by appraisers. Further investigation is still needed, however, in order to find out which submarket delineation should be used to obtain optimal model performances. This raises the paramount question as to whether the peer effect variable is adequately measured and addresses the tricky issue of kernel determination in spatial statistics and related applications, such as GWR.