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Forthcoming JRER Paper

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

Gianluca Marcato
Henley Business School
University of Reading
Email: g.marcato@reading.ac.uk

Anupam Nanda
Henley Business School
University of Reading
Email: a.nanda@reading.ac.uk

 

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.

 
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