The cross-over effect of irrational sentiments in housing, commercial property, and stock markets

Item Type Journal paper
Abstract

This paper examines the dependence in irrational sentiments across housing, commercial property, and stock markets. Our empirical results document an important and lasting impact that commercial real estate sentiment and returns have on broader financial markets. We also show that the cross-over effects of market sentiments are not consistent with cross-over effects in market returns. Sentiments and returns in housing and stock markets exhibit strong dependence on other markets, whereas they evolve independently in commercial real estate. While housing and stock market returns respond to irrational sentiment in commercial real estate markets, the opposite is not true.

Authors Prashant, Das; Füss, Roland; Hanle, Benjamin & Russ, Isabel N.
Journal or Publication Title Journal of Banking and Finance
Language English
Keywords Commercial real estate, Housing market, Investor sentiment Predictability, Stock market
Subjects economics
finance
HSG Classification contribution to scientific community
HSG Profile Area SOF - System-wide Risk in the Financial System
Refereed Yes
Date May 2020
Publisher Elsevier B.V.
Number 114
Number of Pages 14
ISSN 0378-4266
Publisher DOI https://doi.org/10.1016/j.jbankfin.2020.105799
Official URL https://www.sciencedirect.com/science/article/pii/...
Contact Email Address roland.fuess@unisg.ch
Depositing User Beatrix Kobelt-Glock
Date Deposited 18 Feb 2021 15:03
Last Modified 18 Feb 2021 15:04
URI: https://www.alexandria.unisg.ch/publications/262362

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Citation

Prashant, Das; Füss, Roland; Hanle, Benjamin & Russ, Isabel N. (2020) The cross-over effect of irrational sentiments in housing, commercial property, and stock markets. Journal of Banking and Finance, (114). ISSN 0378-4266

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https://www.alexandria.unisg.ch/id/eprint/262362
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