Date of Award

Summer 6-2023

Document Type

Dissertation

Degree Name

Doctor of Philosophy (PhD)

Department

Finance

Program/Concentration

Business Administration - Finance

Committee Director

Mohammad Najand

Committee Member

Lei Zhang

Committee Member

Kenneth Yung

Committee Member

Timothy M. Komarek

Committee Member

David D. Selover

Abstract

Real estate dynamics encompass a multifaceted interplay of various factors that shape the market. This dissertation presents two distinct essays that delve into critical aspects of real estate dynamics.

In the first essay, we investigate the influence of short-term rentals, specifically Airbnb activity, on neighboring house prices in Hampton Roads, Virginia. By employing robust measures such as active listings, reservations, and their cumulative impact over different periods, we uncover a positive association between prior Airbnb rental activity and housing sales prices. Moreover, we observe a spatial decay effect, where the localized impact diminishes with increasing geographic distance, particularly beyond 500 meters. Further analysis employing quantile regression reveals that the effect of Airbnb rentals is more pronounced for higher-priced homes, while middle-range house prices demonstrate a relatively lower sensitivity to Airbnb activity. These findings contribute to the existing literature by shedding light on the nuanced relationship between Airbnb and housing prices.

The second essay delves into the relationship between media content sentiments and returns of Real Estate Investment Trusts (REITs). Leveraging proprietary investor sentiment measures from Thomson Reuters, including dimensions such as "stress," "emotion vs. fact," "dividends," and "price direction," we employ a multi-step approach to examine their impact on REIT returns. Through time series regression and Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models, we establish the statistical significance of media content sentiments in explaining REIT returns and market volatility. Employing Lasso analysis, we identify the sentiment related to "price direction" as the most influential factor impacting excess REIT returns consistently across various REIT types and weighting schemes. Our analysis enhances traditional asset pricing models, improving the adjusted R-squared, and provides insights into the role of media sentiment in shaping REIT returns.

By integrating these two essays, this dissertation contributes to a comprehensive understanding of real estate dynamics. The first essay illuminates the impact of Airbnb activity on house prices, emphasizing the spatial decay effect and differential sensitivity across price distributions. The second essay highlights the significance of media content sentiments in explaining REIT returns and the findings are validated through Covariance-based Structural Equation Modeling (SEM) and path analysis. Collectively, these essays broaden our knowledge of the complex dynamics within the real estate market and provide valuable insights for researchers, policymakers, and market participants alike.

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DOI

10.25777/hzg2-zn53

ISBN

9798380395205

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