Fear and Loathing in the Housing Market

Evidence from Search Query Data

Marcelle Chauvet, Stuart Gabriel, Chandler Lutz

Publikation: Working paperForskning

Resumé

We use Google search query data to develop a novel and direct index of investor distress in the housing market. This measure is highly correlated with negative housing sentiment. We nd that our Housing Distress Index (HDI) is contemporaneously related to and predicts national housing returns, the VIX index, foreclosures, and returns on ABX subprime mortgage credit default swaps. The Housing Distress Index also predicts housing returns among a cross-section of cities. Results further indicate that the relationship between the HDI and national housing returns is asymmetric and stronger during times of market crisis. Overall, the relationship between the HDI and housing returns resembles that between the VIX and stock returns.
OriginalsprogEngelsk
Udgivelses stedwww
UdgiverSSRN: Social Science Research Network
Antal sider55
StatusUdgivet - 2012

Emneord

  • Housing Distress
  • Housing Fear
  • Foreclosures
  • Housing Crises

Citer dette

Chauvet, M., Gabriel, S., & Lutz, C. (2012). Fear and Loathing in the Housing Market: Evidence from Search Query Data. www: SSRN: Social Science Research Network.
Chauvet, Marcelle ; Gabriel, Stuart ; Lutz, Chandler. / Fear and Loathing in the Housing Market : Evidence from Search Query Data. www : SSRN: Social Science Research Network, 2012.
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abstract = "We use Google search data to develop a broad-based and real-time index of housing distress. Unlike established indicators, this new Housing Distress Index (HDI) directly reflects sentiment revealed through search queries. Research findings indicate that the HDI provides important new insights in determination of national and city-specific housing returns, the VIX, foreclosures, and returns on subprime mortgage credit-default swaps. Further, the effects of housing distress on returns are asymmetric and stronger during times of crisis. Overall, results suggest that real estate and related markets are highly sensitive to vulnerabilities in household finances as captured by our measure of housing distress.",
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Chauvet, M, Gabriel, S & Lutz, C 2012 'Fear and Loathing in the Housing Market: Evidence from Search Query Data' SSRN: Social Science Research Network, www.

Fear and Loathing in the Housing Market : Evidence from Search Query Data. / Chauvet, Marcelle; Gabriel, Stuart; Lutz, Chandler.

www : SSRN: Social Science Research Network, 2012.

Publikation: Working paperForskning

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T1 - Fear and Loathing in the Housing Market

T2 - Evidence from Search Query Data

AU - Chauvet, Marcelle

AU - Gabriel, Stuart

AU - Lutz, Chandler

PY - 2012

Y1 - 2012

N2 - We use Google search data to develop a broad-based and real-time index of housing distress. Unlike established indicators, this new Housing Distress Index (HDI) directly reflects sentiment revealed through search queries. Research findings indicate that the HDI provides important new insights in determination of national and city-specific housing returns, the VIX, foreclosures, and returns on subprime mortgage credit-default swaps. Further, the effects of housing distress on returns are asymmetric and stronger during times of crisis. Overall, results suggest that real estate and related markets are highly sensitive to vulnerabilities in household finances as captured by our measure of housing distress.

AB - We use Google search data to develop a broad-based and real-time index of housing distress. Unlike established indicators, this new Housing Distress Index (HDI) directly reflects sentiment revealed through search queries. Research findings indicate that the HDI provides important new insights in determination of national and city-specific housing returns, the VIX, foreclosures, and returns on subprime mortgage credit-default swaps. Further, the effects of housing distress on returns are asymmetric and stronger during times of crisis. Overall, results suggest that real estate and related markets are highly sensitive to vulnerabilities in household finances as captured by our measure of housing distress.

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KW - Foreclosures

KW - Housing Crises

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KW - Housing Crises

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Chauvet M, Gabriel S, Lutz C. Fear and Loathing in the Housing Market: Evidence from Search Query Data. www: SSRN: Social Science Research Network. 2012.