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@article{ART002506658},
author={Hye-Jin Won and Jin, Chang Ha},
title={A Study on the Relationship between Investment Sentiment and Total Return in the Office Market},
journal={Korea Real Estate Review},
issn={2092-5395},
year={2019},
volume={29},
number={3},
pages={47-61},
doi={10.35136/krer.29.3.3}

TY - JOUR
AU - Hye-Jin Won
AU - Jin, Chang Ha
TI - A Study on the Relationship between Investment Sentiment and Total Return in the Office Market
JO - Korea Real Estate Review
PY - 2019
VL - 29
IS - 3
PB - korea real estate research institute
SP - 47
EP - 61
SN - 2092-5395
AB - In this study, we examines the relationship between office total return and investor sentiment. Utilizing the Bank of Korea's Consumer Sentiment Index (CSI) as proxy for investor sentiment, we analyzes the relationship between total return and investor sentiment. We control macro economic variables, such as risk free rate, exchange rate, KOSPI, and default risk premium, to isolate the fundamental economic effect, rational sentiment and idiosyncratic effect, and irrational sentiment. Using the VAR (Vector Auto Regressive) model, we investigate the lead and lag relationship among our key variables; sentiment variables and return proxy; income return and capital return, as well as total return. As a result, we find a significant coefficient on macro economic variables, such as employment rate, KOSPI, risk free rate, default risk premium, and inflation rate. Furthermore, irrational sentiment does not affect total return, while rational sentiment affects total return and income return.
KW - VAR model;investment sentiment;sentiment decomposition;rational sentiment;irrational sentiment
DO - 10.35136/krer.29.3.3
ER -

Hye-Jin Won and Jin, Chang Ha. (2019). A Study on the Relationship between Investment Sentiment and Total Return in the Office Market. Korea Real Estate Review, 29(3), 47-61.

Hye-Jin Won and Jin, Chang Ha. 2019, "A Study on the Relationship between Investment Sentiment and Total Return in the Office Market", Korea Real Estate Review, vol.29, no.3 pp.47-61. Available from: doi:10.35136/krer.29.3.3

Hye-Jin Won, Jin, Chang Ha "A Study on the Relationship between Investment Sentiment and Total Return in the Office Market" Korea Real Estate Review 29.3 pp.47-61 (2019) : 47.

Hye-Jin Won, Jin, Chang Ha. A Study on the Relationship between Investment Sentiment and Total Return in the Office Market. 2019; 29(3), 47-61. Available from: doi:10.35136/krer.29.3.3

Hye-Jin Won and Jin, Chang Ha. "A Study on the Relationship between Investment Sentiment and Total Return in the Office Market" Korea Real Estate Review 29, no.3 (2019) : 47-61.doi: 10.35136/krer.29.3.3

Hye-Jin Won; Jin, Chang Ha. A Study on the Relationship between Investment Sentiment and Total Return in the Office Market. Korea Real Estate Review, 29(3), 47-61. doi: 10.35136/krer.29.3.3

Hye-Jin Won; Jin, Chang Ha. A Study on the Relationship between Investment Sentiment and Total Return in the Office Market. Korea Real Estate Review. 2019; 29(3) 47-61. doi: 10.35136/krer.29.3.3

Hye-Jin Won, Jin, Chang Ha. A Study on the Relationship between Investment Sentiment and Total Return in the Office Market. 2019; 29(3), 47-61. Available from: doi:10.35136/krer.29.3.3

Hye-Jin Won and Jin, Chang Ha. "A Study on the Relationship between Investment Sentiment and Total Return in the Office Market" Korea Real Estate Review 29, no.3 (2019) : 47-61.doi: 10.35136/krer.29.3.3