Essays on the Impact of Sentiment on Real Estate Investments 1st Edition by Anna 3658116374 9783658116378

Essays on the Impact of Sentiment on Real Estate Investments 1st Edition by Anna Mathieu – Ebook Instant Download/Delivery ISBN(s): 3658116374, 9783658116378

Product details:

• ISBN 10: 3658116374
• ISBN 13: 9783658116378
• Author: Anna Mathieu

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.

Table of contents:

1 Introduction

2 The Impact of Investor Sentiment on REIT Returns

2.1 Introduction

2.2 Literature Review

2.3 Data and Methodology

2.3.1 Data

2.3.2 The GARCH Model without Sentiment

2.3.3 The Sentiment Threshold GARCH Model

2.4 Empirical Results

2.4.1 Augmented Dickey-Fuller Test and KPSS Test

2.4.2 Summary Statistics

2.4.3 The GARCH Model without Sentiment

2.4.4 The Sentiment Threshold GARCH Model

2.5 Conclusions

2.6 Appendix for Chapter Two

3 Investor Sentiment and the Return and Volatility of REITs and Non-REITs during the Financial Crisi

3.1 Introduction

3.2 Theoretical Background

3.3 Data and Methodology

3.3.1 Data

3.3.2 The GARCH-M Model

3.3.3 Empirical Hypotheses

3.4 Empirical Results

3.4.1 Summary Statistics

3.4.2 The GARCH-M Model

3.5 Conclusions

3.6 Appendix for Chapter Three

4 The Impact of Consumer Sentiment on the Number of New Home Sales

4.1 Introduction

4.2 Literature Review

4.3 Data

4.4 Methodology

4.4.1 The Basic Unobserved Component Model (UCM)

4.4.2 A Model with Additional Components

4.5 Empirical Results

4.5.1 Summary Statistics

4.5.2 UCM with all Variables

4.5.3 UCM with Significant Variables

4.5.4 Other Models

4.6 Conclusion

4.7 Appendix for Chapter Four

5 Dissertation Conclusions

People also search:

essays on emotions

essay on the impact of social media

essays on self esteem

essays on sexism

emotional essays on life