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Information Content and Forecasting Ability of Sentiment Indicators: Case of Real Estate Market

Gianluca Marcato () and Anupam Nanda ()
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Anupam Nanda: University of Reading

Journal of Real Estate Research, 2016, vol. 38, issue 2, 165-204

Abstract: 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.

JEL-codes: L85 (search for similar items in EconPapers)
Date: 2016
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More articles in Journal of Real Estate Research from American Real Estate Society American Real Estate Society Clemson University School of Business & Behavioral Science Department of Finance 401 Sirrine Hall Clemson, SC 29634-1323.
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