Heterogeneous Investor Sentiment and Institutional Real Estate Investments

被引:40
|
作者
Freybote, Julia [1 ]
Seagraves, Philip A. [2 ]
机构
[1] Florida Int Univ, Miami, FL 33199 USA
[2] Middle Tennessee State Univ, Murfreesboro, TN 37130 USA
关键词
DYNAMICS; RETURNS; DETERMINANTS; UNCERTAINTY; COMOVEMENT; OWNERSHIP; PROPERTY; MARKETS; TRUSTS; RISK;
D O I
10.1111/1540-6229.12132
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
Commercial real estate investors differ in their sentiment due to factors such as market expertise, investment strategies and expectations about future market conditions. Focusing on the office market, we investigate whether investors with a multiasset investment focus such as pension funds or insurance companies rely on the sentiment of specialized real estate investors such as public REITs or private developers/owners as source of information in their investment decision-making. Using disaggregated sentiment measures and vector autoregression (VAR) we find evidence that changes in REIT and private real estate investor sentiment lead to changes in institutional investor sentiment in the suburban office and office REIT market. Our findings suggest that institutional investors rely on the sentiment of specialized real estate investors to make real estate investment decisions. Our study contributes to the existing literature on sentiment in commercial real estate markets by emphasizing the heterogeneity of investor sentiment and introducing a disaggregated sentiment measure. We also contribute to the institutional herding literature.
引用
收藏
页码:154 / 176
页数:23
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