Sentiment Shock and Housing Prices: Evidence from Korea
0
조회
0
다운로드
0
인용
0
참고문헌
키워드
초록
This study examines the impact of sentiment shock, which is defined as a stochastic innovation to the Housing Market Confidence Index (HMCI) that is orthogonal to past housing price changes, on aggregate housing price changes and housing price volatility. This paper documents empirical evidence that sentiment shock has a statistically significant relationship with Korea’s aggregate housing price changes. Specifically, the key findings show that an increase in sentiment shock predicts a rise in the aggregate housing price and a drop in its volatility at the national level. For the Seoul Metropolitan Region (SMR), this study also suggests that sentiment shock is positively associated with one-month-ahead aggregate housing price changes, whereas an increase in sentiment volatility tends to increase housing price volatility as well. In addition, the out-of-sample forecasting exercises conducted here reveal that the prediction model endowed with sentiment shock and sentiment volatility outperforms other competing prediction models.
Abstract
This study examines the impact of sentiment shock, which is defined as a stochastic innovation to the Housing Market Confidence Index (HMCI) that is orthogonal to past housing price changes, on aggregate housing price changes and housing price volatility. This paper documents empirical evidence that sentiment shock has a statistically significant relationship with Korea’s aggregate housing price changes. Specifically, the key findings show that an increase in sentiment shock predicts a rise in the aggregate housing price and a drop in its volatility at the national level. For the Seoul Metropolitan Region (SMR), this study also suggests that sentiment shock is positively associated with one-month-ahead aggregate housing price changes, whereas an increase in sentiment volatility tends to increase housing price volatility as well. In addition, the out-of-sample forecasting exercises conducted here reveal that the prediction model endowed with sentiment shock and sentiment volatility outperforms other competing prediction models.
참고문헌 (24)
- Baker, Malcolm, "Investor sentiment and cross-section of stock returns", Journal of Finance, 61(4), pp.1645~1680 (2006)
- Baker, Malcolm, "Global, Local, and Contagious Investor Sentiment", Journal of Financial Economics, 104(2), pp.272~287 (2012)
- Beracha, Eli, "Momentum in Residential Real Estate", Journal of Real Estate Finance and Economics, 43, pp.299~320 (2011)
- Beracha, Eli, "On the Relationship between Market Sentiment and Commercial Real Estate Performance—A Textual Analysis Examination", Journal of Real Estate Research, 41(4), pp.605~638 (2019)
- Risk Appetite and Endogenous Risk, "Danielsson, Jon", AXA, ~, pp.AXA Working Paper Series No. 2 (2010)
- Campbell, J. Y., "How do House Prices Affect Consumption? Evidence from Micro Data", Journal of Monetary Economics, 54(3), pp.591~621 (2007)
- Case, Karl E., "The Efficiency of the Market for Single-Family Homes", American Economic Review, 79(1), pp.125~137 (1989)
- Case, Karl E., "Is There a Bubble in the Housing Market?", Brookings Papers on Economic Activity, 2003(2), pp.299~342 (2003)
- Edmans, Alex, "Sports Sentiment and Stock Returns", The Journal of Finance, 62(4), pp.1967~1998 (2007)
- Hausler, Jochen, "News-based sentiment analysis in real estate: a machine learning approach", Journal of Property Research, 35(4), pp.344~371 (2018)
- Himmelberg, Charles, "Assessing High House Prices: Bubbles, Fundamentals and Misperceptions", The Journal of Economic Perspectives, 19(4), pp.67~92 (2005)
- Keynes, J. M, "The General Theory of Employment, Interest and Money" (1936), Macmillan
- Mayer, Christopher, "Policy Making Insights from Behavioral Economics" (2009), Federal Reserve Bank of Boston
- Pyo, Dong-Jin, "News Media Sentiment and Asset Prices: Text-mining approach", Asia Pacific Journal of Accounting and Economics, 28(2), pp.183~205 (2021)
- Soo, C. K, "Quantifying Sentiment with News Media across Local Housing Markets", The Review of Financial Studies, 31(10), pp.3689~3719 (2018)
- Shiller, Robert, "Irrational Exuberance" (2005), Princeton University Press
- Stefani, Allesia De, "House Price History, Biased Expectations, and Credit Cycles: The Role of Housing Investors", Real Estate Economics, 49(4), pp.1238~1266 (2021)
- Taylor, John B, "Getting OffTrack: How Government Actions and Interventions Caused, Prolonged, and Worsened the Financial Crisis" (2009), Hoover Institution Press
- Tetlock, Paul C, "Giving Content to Investor Sentiment: The Role of Media in the Stock Market", Journal of Finance, 62(3), pp.1139~1168 (2007)
- Tetlock, Paul C., "More than Words: Quantifying Language to Measure Firm Fundamentals", Journal of Finance, 63(3), pp.1437~1467 (2008)
- Walker, B. Clive, "Housing Booms and Media Coverage", Applied Economics, 46(32), pp.3954~3967 (2014)
- Zellner, Arnold, "An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias", Journal of the American Statistical Association, 57, pp.348~368 (1962)
- Zheng, Yao, "Housing Price Dynamics: The Impact of Stock Market Sentiment and the Spillover Effect", The Quarterly Review of Economics and Finance, 80, pp.854~886 (2021)
- Zheng, Siqi, "Investor Confidence as a Determinant of China's Urban Housing Market Dynamics", Real Estate Economics, 44(4), pp.814~845 (2016)