Anna Mathieu clarifies if real estate decisions are affected by investor and consumer sentiment and how severely the sentiment should be considered. With regard to international capital markets Mathieu conducts an analysis of the impact of investor sentiment on the return of the real estate-specific investment vehicle “Real Estate Investment Trust (REIT)” by applying a GARCH-Model. She investigates the effects of investor sentiment on the return and the underlying volatilities of REITs and Non-REITs during the financial crisis. The hypotheses are tested for validity in a GARCH-Model. Parallel to capital markets and thereby in changing from an indirect Real Estate investment perspective to a direct perspective the author conducts an analysis if consumer sentiment impacts the household decision to buy a new home in the US. Therefore a dataset with 385 monthly observations from 1978 to 2010 is tested by a component model.
This dissertation comprises three essays on the role of soft data and spillover effects in real estate.In the first essay, tracking a sample of modified loans underlying private-label mortgage-backed securities, I compare the modification effectiveness of servicers who originated mortgages versus those who simply serviced them. The probability of re-default among loans modified by the former is over 6.9 percentage point lower than the latter. Further tests show that the differences in modification success likely come from the soft information acquired during the origination process. These findings suggest that the loss of soft information in mortgage securitization can impose a substantial cost on mortgage servicing, which raises important policy implications for government regulations in this market.The second essay examines the effect of peer firm sentiment on firm investment decisions using data from public homebuilders in the U.S. over 2003Q1-2016Q3. Peer sentiment is measured by the NAHB/Wells Fargo Housing Market Index, derived from a monthly survey of homebuilders perceptions about the conditions of the single-family housing market. I find that a one-standard-deviation increase in the peer sentiment index induces homebuilders to increase their land inventory by 8.4%-12.6%. In addition, big builders are just as prone to peer sentiment as small firms. Consistent with the catering theory, homebuilders held by more short term investors are more likely to follow their peers than those held mainly by institutional shareholders. Interestingly, firms that overbuild compared to their peers have lower stock returns in the next quarter while underbuilding is rewarded with higher stock prices, but this effect decreases as the magnitude of underbuilding increases.Finally, the third essay investigates the effect of separating real estate from the Financials sector in the Global Industry Classification Standard. Since Sep 1, 2016, real estate became an independent sector instead of being an industry group under the Financials sector together with banks and insurance. Using Real Estate Investment Trusts to represent the new GICS Real Estate sector, I find that their correlation with the Financials sector fell from 0.568-0.775 to 0.338-0.581 after their departure. The reduction in their connection occurred first at announcement and again at implementation. In addition, REIT returns became as much as 60% less volatile than before. However, becoming a separate sector did not affect trading activities in the REIT market, at least in the short post-implementation period covered in this paper.
This dissertation represents an initial exploration and offers a practical framework, along with managerial recommendations, for social impact investing within the real estate industry. The first paper contributes to the academic discourse by elucidating the understanding, boundaries, and definition of social impact investing. The second paper integrates the academic framework of a balanced scorecard with regulatory stipulations set forth by the European Union, while incorporating specific considerations relevant to real estate assets. This integration results in the development of an analytical grid tailored to assess social impact investing within the context of real estate properties. The third and concluding paper evaluates the applicability of the previously established Real Estate Social Impact Investing Analysis Grid and derives managerial insights from interviews conducted with prominent German real estate top managers and sustainability managers. Overall, this dissertation shall enable all actors in the real estate landscape to understand social impact investing and help to establish social impact investing as an integral part of daily business. In line with the sentiment expressed by the Urban Land Institute (2021, p. 12), "Now is the time to put people and places at the heart of real estate investment and development." Through collaboration and the engagement of all stakeholders, the real estate industry can significantly contribute to addressing social and environmental sustainability challenges in a goal-oriented manner. By doing so, it takes on the responsibility of creating a livable and cherished world for future generations.
