News-based sentiment analysis in real estate: a machine learning approach

Jochen Hausler, Jessica Ruscheinsky and Marcel Lang

Journal of Property Research, 2018, vol. 35, issue 4, 344-371

Abstract: This paper examines the relationship between news-based sentiment, captured through a machine learning approach, and the US securitised and direct commercial real estate markets. Thus, we contribute to the literature on text-based sentiment analysis in real estate by creating and testing various sentiment measures by utilising trained support vector networks. Using a vector autoregressive framework, we find the constructed sentiment indicators to predict the total returns of both markets. The results show a leading relationship of our sentiment, even after controlling for macroeconomic factors and other established sentiment proxies. Furthermore, empirical evidence suggests a shorter response time of the indirect market in relation to the direct one. The findings make a valuable contribution to real estate research and industry participants, as we demonstrate the successful application of a sentiment-creation procedure that enables short and flexible aggregation periods. To the best of our knowledge, this is the first study to apply a machine learning approach to capture textual sentiment relevant to US real estate markets.

Date: 2018
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DOI: 10.1080/09599916.2018.1551923

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