Essays on the Impact of Sentiment on Real Estate Investments (eBook)

Anna Mathieu (Autor)

eBook Download: PDF

2015 | 1st ed. 2016
XX, 115 Seiten
Springer Fachmedien Wiesbaden GmbH (Verlag)
978-3-658-11637-8 (ISBN)

Infos

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. 

Dr. Anna Mathieu wrote her dissertation at the Real Estate Management Institute (REMI) of the EBS European Business School.

Inhalt

Preface of the Editor 6
Preface of the Author 10
Table of Contents 12
List of Abbreviations 15
List of Figures 16
List of Tables 17
1 Introduction 19
2 The Impact of Investor Sentiment on REIT Returns 27
2.1 Introduction 27
2.2 Literature Review 30
2.3 Data and Methodology 35
2.3.1 Data 35
2.3.2 The GARCH Model without Sentiment 36
2.3.3 The Sentiment Threshold GARCH Model 37
2.4 Empirical Results 38
2.4.1 Augmented Dickey-Fuller Test and KPSS Test 39
2.4.2 Summary Statistics 39
2.4.3 The GARCH Model without Sentiment 40
2.4.4 The Sentiment Threshold GARCH Model 40
2.5 Conclusions 45
2.6 Appendix for Chapter Two 48
3 Investor Sentiment and the Return and Volatility of REITs and Non-REITs during the Financial Crisis 58
3.1 Introduction 58
3.2 Theoretical Background 60
3.3 Data and Methodology 64
3.3.1 Data 64
3.3.2 The GARCH-M Model 66
3.3.3 Empirical Hypotheses 69
3.4 Empirical Results 69
3.4.1 Summary Statistics 70
3.4.2 The GARCH-M Model 70
3.5 Conclusions 75
3.6 Appendix for Chapter Three 78
4 The Impact of Consumer Sentiment on the Number of New Home Sales 83
4.1 Introduction 83
4.2 Literature Review 87
4.3 Data 89
4.4 Methodology 92
4.4.1 The Basic Unobserved Component Model (UCM) 93
4.4.2 A Model with Additional Components 94
4.5 Empirical Results 97
4.5.1 Summary Statistics 97
4.5.2 UCM with all Variables 98
4.5.3 UCM with Significant Variables 100
4.5.4 Other Models 102
4.6 Conclusion 104
4.7 Appendix for Chapter Four 107
5 Dissertation Conclusions 117
References 123

Produkt-Details

• Erscheint lt. Verlag: 5.11.2015
• Reihe/Serie: Essays in Real Estate Research
• Reihe/Serie: Essays in Real Estate Research
• Zusatzinfo: XX, 115 p. 6 illus. in color.
• Verlagsort: Wiesbaden
• Sprache: englisch
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management
• Schlagworte: GARCH-Model • Impact of Investor Sentiment • New Home Sales in US • Real Estate Investment Trust • real estate-specific investment • Reit
• ISBN-10: 3-658-11637-4 / 3658116374
• ISBN-13: 978-3-658-11637-8 / 9783658116378