Outperforming the benchmark: online information demand and REIT market performance

Abstract

Purpose – The purpose of this paper is to investigate whether there is a relationship between asset-specific online search interest and movements in the US REIT market. Design/methodology/approach – The authors collect search volume (SV) data from “Google Trends” for a set of keywords representing the information demand of real estate (equity) investors. On this basis, the authors test hypothetical investment strategies based on changes in internet SV, to anticipate REIT market movements. Findings – The results reveal that people’s information demand can indeed serve as a successful predictor for the US REIT market. Among other findings, evidence is provided that there is a significant relationship between asset-specific keywords and the US REIT market. Specifically, investment strategies based on weekly changes in Google SV would have outperformed a buy-and-hold strategy (0.1 percent p.a.) for the Morgan Stanley Capital International US REIT Index by a remarkable 15.4 percent p.a. between 2006 and 2013. Furthermore, the authors find that real-estate-related terms are more suitable than rather general, finance-related terms for predicting REIT market movements. Practical implications – The findings should be of particular interest for REIT market investors, as the established relationships can potentially be utilized to anticipate short-term REIT market movements. Originality/value – This is the first paper which applies Google search query data to the REIT market.

Does internet search intensity predict house prices in emerging markets? A case of India

“…They find that search volume index of certain keywords like 'Home Finance' is positively correlated to the volatility of the index comprising real estate stocks in India. Rochdi and Dietzel (2015) show in their study that online information seeking behavior can predict future price movements of US REITs.…”

Investor Attention and Stock Market Activities: New Evidence from Panel Data

“…The study of the attention effect is not limited only in stock markets and the results in other markets largely confirm the findings in stock markets. See, for example, Goddard et al (2015) for foreign exchange markets, Li et al (2015) for energy markets, and Rochdi and Dietzel (2015) and Braun (2016) for real estate markets. reveals information to asset prices.…”

Real estate media sentiment through textual analysis

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