The time-varying nature of spatial dependencies in commercial real estate prices : a behavioral explanation

Sinha, Parmanand (University of Tennessee, Knoxville, United States) ; Das, Prashant (Ecole hôtelière de Lausanne, HES-SO // University of Applied Sciences Western Switzerland) ; Freybote, Julia (Florida Internaational University, Miami, United States) ; Füss, Roland (University of St Gallen, Switzerland)

In this study we provide a behavioral explanation for spatial dependence in commercial property asset pricing. We analyze nearly 6000 hotel transactions in the US between 2001 and 2016 applying temporal spatial autoregression with autoregressive error (T-SARAR) models to test the behavioral explanation. We show that the spatial lags are partially driven by behavioral biases whereas the spatial errors do not exhibit a distinct pattern of association with market conditions which are known to influence the investor behavior. In particular, spatial lags influence future transactions the most when irrational sentiments are the lowest (during periods of unexplained pessimism) or when the rational financial market anxiety is the highest (during periods of economic turmoil).


Keywords:
Conference Type:
full paper
Faculty:
Economie et Services
School:
EHL
Institute:
Aucun institut
Subject(s):
Economie/gestion
Publisher:
Calcutta, India, 20-22 December 2018
Date:
2018-12
Calcutta, India
20-22 December 2018
Pagination:
42 p.
Published in:
Proceedings of the 8th India Finance Conference (IFC) 2018
Appears in Collection:

Note: The status of this file is: restricted


 Record created 2019-07-01, last modified 2019-08-19

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