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Paper eres2012_375:
How accurately do investors' attitudes forecast demand-supply mismatch across real estate sectors?

id eres2012_375
authors Gianluca Marcato and Anupam Nanda
year 2012
title How accurately do investors' attitudes forecast demand-supply mismatch across real estate sectors?
source 19th Annual European Real Estate Society Conference in Edinburgh, Scotland
summary We look through both the demand and supply side information to understand dynamics of price determination in the real estate market and examine how accurately investors’ attitudes predict the market returns and thereby flagging off extent of any demand-supply mismatch. Our hypothesis is based on the possibility that investors’ call for action in terms of their buy/sell decision and adjustment in reservation/offer prices may indicate impending demand-supply imbalances in the market. In the process, we study several real estate sectors to inform our analysis. The timeframe of our analysis (1995-2010) allows us to observe market dynamics over several economic cycles and in various stages of those cycles. Additionally, we also seek to understand how investors’ attitude or the sentiment affects the market activity over the cycles through asymmetric responses. We test our hypothesis variously using a number of measures of market activity and attitude indicators within several model specifications. The empirical models are estimated using Vector Error Correction method. Our analysis suggests that investors’ attitude exert strong and statistically significant feedback effects in price determination. Moreover, these effects do reveal heterogeneous responses across the real estate sectors. Interestingly, our results indicate the asymmetric responses during boom, normal and recessionary periods. These results are consistent with the theoretical underpinnings.
series ERES:conference
type normal paper
email g.marcato@henley.reading.ac.uk
discussion No discussions. Post discussion ...
ratings
session Parallel Session A1
last changed 2014/10/21 21:51
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