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Information content and forecasting ability of sentiment indicators: case of real estate market

Marcato, G. and Nanda, A. (2016) Information content and forecasting ability of sentiment indicators: case of real estate market. Journal of Real Estate Research, 38 (2). pp. 165-203. ISSN 0896-5803

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Official URL: http://pages.jh.edu/jrer/papers/content/past/vol38...

Abstract/Summary

We evaluate a number of real estate sentiment indices to ascertain current and forward-looking information content that may be useful for forecasting demand and supply activities. Analyzing the dynamic relationships within a Vector Auto-Regression (VAR) framework and using the quarterly US data over 1988-2010, we test the efficacy of several sentiment measures by comparing them with other coincident economic indicators. Overall, our analysis suggests that the sentiment in real estate convey valuable information that can help predict changes in real estate returns. These findings have important implications for investment decisions, from consumers' as well as institutional investors' perspectives.

Item Type:Article
Refereed:Yes
Divisions:Henley Business School > Real Estate and Planning
ID Code:39372
Publisher:American Real Estate Society

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