2 research outputs found
Information Processing and Stock Market Volatility - Evidence from Real Estate Investment Trusts
This study proposes novel measurements of investor psychology utilizing Big Data and reveals the impact of different measures on asset price volatility. We construct a news sentiment measure based on news articles reflecting information supply. News content is transformed into quantitative data utilizing sentiment analysis. We further investigate a metric for investor attention based on search queries from the web representing information demand. Consequently, we investigate how asset price volatility is attributable to information processing by investors. The main contribution of this paper is the analysis of novel insights into information processing by investors in the presence of Big Data. In particular, we find that the impact of news content (information supply) generally is much stronger than the effect of Big Data search behavior (information demand). While our results confirm the negativity-bias of investors, we find that measures additionally incorporating positive content outperform measures solely based on negative connotations
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A behavioral interpretation of the nav discount puzzle in listed real estate companies
The NAV discount is a long standing puzzle in the listed real estate context. In this paper we extend the existing literature’s rational and noise trader explanations by exploring the influence of specific irrational behaviors. Based on behavioral biases identified in the stock and real estate markets, we hypothesize the existence of a relationship between lagged NAV growth and the NAV discount. The findings provide initial evidence of trend-chasing behavior between the dual real estate markets. The results have broader implications for the perception of the relationship between public and private real estate markets