Information Processing in Securitized Real Estate Markets -- How Newspaper Content and Online Search Behavior Help Explaining Market Movements

摘要

This paper analyzes the impact of media on real estate stocks. Although prior work has elaborated on various rationales for short-term stock movements, empirical evidence for the role of media has been rather limited. We apply information systems (IS) methods to extract newspaper sentiment as a proxy for information supply and investigate online search behavior as an indicator for self-revealed information demand by investors. The empirical results stress the relevance of media in securitized real estate markets in the UK. In particular, we find that newspaper pessimism reduces REIT industry returns and increases net asset value (NAV) spreads. Among the various dictionaries applied, sentiment based on the Subjectivity Lexicon yields the best results. The effect of search volume on the REIT market is diverse. While REIT-specific search volume impacts industry returns, we find that rather broad search volume on property markets is decisive for short-term movements of NAV spreads.