Essays On The Impact Of Sentiment On Real Estate Investments
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Essays On The Impact Of Sentiment On Real Estate Investments
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Author : Anna Mathieu
language : en
Publisher: Springer
Release Date : 2015-11-05
Essays On The Impact Of Sentiment On Real Estate Investments written by Anna Mathieu and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-11-05 with Business & Economics categories.
Anna Mathieu clarifies if real estate decisions are affected by investor and consumer sentiment and how severely the sentiment should be considered. With regard to international capital markets Mathieu conducts an analysis of the impact of investor sentiment on the return of the real estate-specific investment vehicle “Real Estate Investment Trust (REIT)” by applying a GARCH-Model. She investigates the effects of investor sentiment on the return and the underlying volatilities of REITs and Non-REITs during the financial crisis. The hypotheses are tested for validity in a GARCH-Model. Parallel to capital markets and thereby in changing from an indirect Real Estate investment perspective to a direct perspective the author conducts an analysis if consumer sentiment impacts the household decision to buy a new home in the US. Therefore a dataset with 385 monthly observations from 1978 to 2010 is tested by a component model.
Essays On The Relationship Between Investor Sentiment And Real Estate Investment Trusts
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Author : Daniel Huerta
language : en
Publisher:
Release Date : 2013
Essays On The Relationship Between Investor Sentiment And Real Estate Investment Trusts written by Daniel Huerta and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with Industrial management categories.
Essays On The Role Of Soft Data And Spillover Effects In Real Estate
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Author : Thao Le
language : en
Publisher:
Release Date : 2017
Essays On The Role Of Soft Data And Spillover Effects In Real Estate written by Thao Le and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
This dissertation comprises three essays on the role of soft data and spillover effects in real estate.In the first essay, tracking a sample of modified loans underlying private-label mortgage-backed securities, I compare the modification effectiveness of servicers who originated mortgages versus those who simply serviced them. The probability of re-default among loans modified by the former is over 6.9 percentage point lower than the latter. Further tests show that the differences in modification success likely come from the soft information acquired during the origination process. These findings suggest that the loss of soft information in mortgage securitization can impose a substantial cost on mortgage servicing, which raises important policy implications for government regulations in this market.The second essay examines the effect of peer firm sentiment on firm investment decisions using data from public homebuilders in the U.S. over 2003Q1-2016Q3. Peer sentiment is measured by the NAHB/Wells Fargo Housing Market Index, derived from a monthly survey of homebuilders perceptions about the conditions of the single-family housing market. I find that a one-standard-deviation increase in the peer sentiment index induces homebuilders to increase their land inventory by 8.4%-12.6%. In addition, big builders are just as prone to peer sentiment as small firms. Consistent with the catering theory, homebuilders held by more short term investors are more likely to follow their peers than those held mainly by institutional shareholders. Interestingly, firms that overbuild compared to their peers have lower stock returns in the next quarter while underbuilding is rewarded with higher stock prices, but this effect decreases as the magnitude of underbuilding increases.Finally, the third essay investigates the effect of separating real estate from the Financials sector in the Global Industry Classification Standard. Since Sep 1, 2016, real estate became an independent sector instead of being an industry group under the Financials sector together with banks and insurance. Using Real Estate Investment Trusts to represent the new GICS Real Estate sector, I find that their correlation with the Financials sector fell from 0.568-0.775 to 0.338-0.581 after their departure. The reduction in their connection occurred first at announcement and again at implementation. In addition, REIT returns became as much as 60% less volatile than before. However, becoming a separate sector did not affect trading activities in the REIT market, at least in the short post-implementation period covered in this paper.
Essays On Sentiment
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Author : Steffen Heinig
language : en
Publisher:
Release Date : 2019
Essays On Sentiment written by Steffen Heinig and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
Essays On The Influence Of Textual Sentiment In Real Estate Markets
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Author : Jochen Hausler
language : en
Publisher:
Release Date : 2019*
Essays On The Influence Of Textual Sentiment In Real Estate Markets written by Jochen Hausler and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019* with categories.
Essays On Real Estate Investment
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Author : Yongqiang Chu
language : en
Publisher:
Release Date : 2008
Essays On Real Estate Investment written by Yongqiang Chu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
Three Essays On Real Estate Finance
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Author : Xiaolong Liu
language : en
Publisher: Rozenberg Publishers
Release Date : 2010
Three Essays On Real Estate Finance written by Xiaolong Liu and has been published by Rozenberg Publishers this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.
Social Impact Investing In The Real Estate Industry
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Author : Laura Vivian Haidl-Schöpf
language : de
Publisher: BoD – Books on Demand
Release Date : 2024-03-18
Social Impact Investing In The Real Estate Industry written by Laura Vivian Haidl-Schöpf and has been published by BoD – Books on Demand this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024-03-18 with Business & Economics categories.
This dissertation represents an initial exploration and offers a practical framework, along with managerial recommendations, for social impact investing within the real estate industry. The first paper contributes to the academic discourse by elucidating the understanding, boundaries, and definition of social impact investing. The second paper integrates the academic framework of a balanced scorecard with regulatory stipulations set forth by the European Union, while incorporating specific considerations relevant to real estate assets. This integration results in the development of an analytical grid tailored to assess social impact investing within the context of real estate properties. The third and concluding paper evaluates the applicability of the previously established Real Estate Social Impact Investing Analysis Grid and derives managerial insights from interviews conducted with prominent German real estate top managers and sustainability managers. Overall, this dissertation shall enable all actors in the real estate landscape to understand social impact investing and help to establish social impact investing as an integral part of daily business. In line with the sentiment expressed by the Urban Land Institute (2021, p. 12), "Now is the time to put people and places at the heart of real estate investment and development." Through collaboration and the engagement of all stakeholders, the real estate industry can significantly contribute to addressing social and environmental sustainability challenges in a goal-oriented manner. By doing so, it takes on the responsibility of creating a livable and cherished world for future generations.
Behavioral Explanations Of Investors Trading In Financial Markets
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Author : Mohammed Saad H Alhashim
language : en
Publisher:
Release Date : 2021
Behavioral Explanations Of Investors Trading In Financial Markets written by Mohammed Saad H Alhashim and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021 with Behavioral assessment categories.
In the first essay, I examine the effect of social media sentiment on the trading behavior of individual investors. I document a positive association between sentiment and retail order imbalances (i.e., individual investors tend to buy more than they sell as they become more optimistic about stocks). The association between retail investor activity and sentiment is stronger for hard-to-value stocks (small cap, low institutional ownership, and low analyst coverage firms). Finally, the association between retail order imbalances and stock returns exists only in conjunction with investor sentiment. In the second essay, I consider the effect of firm-level sentiment extracted from a social network platform on the presence of herding behavior in the US equity market. Applying a quantile regression model enables me to investigate the existence of herding during both quiet periods and extreme market movements. I also benefit from using different sampling frequencies (daily, weekly, and monthly) for detecting investor herding. I document an asymmetric association between herding and investor sentiment. Herding is present in low-optimism portfolios but not in high-optimism portfolios. I also find evidence of herding in intermediate quantiles (i.e., relatively quiet market periods but not during extreme market movements). The degree of investor attention has a moderating impact on the relationship between investor optimism and the tendency to herd, with herding being more intense among low-optimism stocks. I also find evidence that trading volume drives herding behavior. In the third essay, I estimate the impact of investor sentiment in the stock market on the return and volatility spillover risks between real estate investment trusts (REITs) and a broader equity index. The total return spillover risk from equity market to real estate is higher for low-optimism portfolios (45.76%) relative to high-optimism portfolios (41.41%). I do not document any significant impact of investor sentiment on the volatility spillover risk between REITs and the equity market (34.85% versus 34.17%). My results highlight the importance of considering investor sentiment in the stock market when constructing multi-asset portfolios that include REITs in addition to other asset classes.
Essays In Investor Sentiment
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Author : Major Coleman
language : en
Publisher:
Release Date : 2013
Essays In Investor Sentiment written by Major Coleman and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
Chapter 1. If investors choose consumption and investment levels jointly to maximize expected utility or value, then investor sentiment about stock returns should be reflected in consumption choices. I find a positive contemporaneous relationship between aggregate consumption of nondurables and investor stock sentiment. Investors' false perceptions of changes in stock market wealth appear to move consumption in the same direction initially. But as expected stock returns do not materialize, sentiment-based consumption is reversed. On average, this reversal occurs two to four years later, which coincides with the time it takes for sentiment to correct from prior levels. Sentiment does not positively predict returns as a positive proxy of rational expectations of risk would. Nor does sentiment negatively predict the covariance between consumption growth and returns as an inverse proxy for rational expectations of risk would. The results suggest that bias in investor expectations is an important factor in consumption-based asset pricing models. Chapter 2. I hypothesize that directly observable past returns drive housing investment more so than fundamentals because the difference between price and fundamental value---sentiment---is not directly observable. Housing sentiment only becomes recognizable when it is extreme, so the magnitude of sentiment must be large enough relative to recent returns in order for prices to correct. I construct indices of housing sentiment and use the measures to calibrate a specification of home price growth driven by momentum investing. I find that home price growth is persistent even when prices are moving away from fundamental value, and reversals in home price growth are only likely when the housing sentiment measures are extreme.