Market Sentiments and the Housing Markets

This paper has three chapters. In the first chapter, we develop a measure of housing sentiment for 24 cities in China by parsing through newspaper articles from 2006 to 2017.We find that the sentiment index has strong predictive power for future house prices even after controlling for past price changes and macroeconomic fundamentals. The index leads price movements by nearly 9 months, and it is highly correlated with other survey expectations measures that come with a significant time lag. In the second chapter, we show that short term house price movement is predictable by solely using newspaper and historical price change. In the last chapter, using the sentiment index constructed from newspaper, we got empirical results to show that some people are forward-looking when deciding default and a positive sentiment (anticipated house price appreciation) will lower the Z score of probability of default by 0.028.

Name thesis:degree_name

Doctor of Philosophy

Level thesis:degree_level

doctoral

Discipline thesis:degree_discipline

Economics

Department dc:contributor.department

Economics

Grantor dc:publisher

Virginia Tech

Year dc:date.issued

2020

Author dc:creator

• Huang, Yao

Chair dc:contributor.committeechair

• Tsang, Kwok Ping

Committee members dc:contributor.committeemember

• Luo, Shaowen
• Smith, Alexander Charles
• Ge, Suqin

• House prices
• default
• mortgage
• loan
• forecasting
• sentiment
• textual analysis

Statement dc:rights

• In Copyright

Licence dc:rights.uri

• http://rightsstatements.org/vocab/InC/1.0/

Dc Identifier Other

vt_gsexam:23761

OAI identifier oai:identifier

oai:vtechworks.lib.vt.edu:10919/97518