The role of investor sentiment in the real estate market
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In neoclassical finance theory, there is no role for investor sentiment in valuation, markets are efficient and all movements in stock prices rationally reflect changes in cash flows or discount rates. In contrast, the behavioural finance literature posits that investor sentiment and limits to arbitrage play a role in the determination of asset prices which is independent of market fundamentals. REITs are unique in that the pricing of the asset class parallels two markets: real estate assets trade in the private market and REIT shares, which provide indirect ownership of underlying properties, trade in the public market. The aim of this research work is twofold. First, it provides a detailed analysis of the investor sentiment literature in the finance and real estate field, with a focus on the methodologies used to construct sentiment indices. Secondly, this analysis is one of the first attempts to investigate how REIT-specific characteristics are related to their sensitivity to investor sentiment (sentiment beta).
Emanuela Giacomini is an assistant professor at the University of Macerata where she teaches Investments Analysis and Mercati ed Investimenti Mobiliari. She received her Ph.D. from the Polytechnic University of Marche and a Master of Science degree in Real Estate and Finance from the University of Florida.
Chapter 1. Investor sentiment in financial and real estate markets
1.1. Investor Sentiment in Financial Market
1.2. Investor Sentiment and Equity Risk Premium
1.3. Investor Sentiment in Real Estate
1.4. Pricing issues in Real Estate
Chapter 2. Measuring investor sentiment
2.1. Economic Sentiment Indicators
2.2. Sentiment proxies for the Stock Market
2.3. Baker and Wurgler Investor Sentiment Model
2.4. Investor Sentiment proxies in the Real Estate Market
Chapter 3. Sentiment beta: the case of US REITs
3.2. Sentiment beta and REITs Characteristics
3.3. Institutional Investors and Sentiment Beta
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