文档介绍：本科毕业论文(设计)
外文翻译
原文:
Commercial Real Estate Valuation: Fundamentals Versus Investor Sentiment
Background and Previous Literature
Both sentiment and limits to arbitrage are necessary conditions for the existence of mispricing. More specifically, in a market characterized by heterogeneous investors, the existence of short sale constraints can generate deviations in asset prices from fundamental values. Optimistic investors take long positions, while pessimistic investors would like to take short positions. Short-sale constraints, however, may inhibit the ability of rational investors to eliminate overpricing, even over sustained time periods. Therefore, rational investors may sit on the sidelines when they believe prices are too high relative to fundamentals, leaving market clearing prices to be determined, at the margin, by overly optimistic investors as in Baker and Stein (2004).
Most behavioral finance research has followed a “bottom up” microeconomic approach that appeals to biases in individual investor psychology to explain how and why investors might overreact or under-react to past returns and information about market fundamentals. Brown and Cliff (2004, 2005) and Baker and Wurgler (2006, 2007) offer a new “top down” macroeconomic approach, the first step of which is to derive measures of aggregate investor sentiment for stocks. Brown and Cliff (2004, 2005) employ both survey measures of investor sentiment as well as sentiment measures derived from a ponent analysis of a set of potential sentiment proxies. They find that investor sentiment is highly correlated with contemporaneous stock returns but has little short-run predictive power (Brown and Cliff 2004). However, taking a longer term perspective (2 to 3 years), periods of high sentiment are followed by low returns as the market mean reverts (Brown and Cliff 2005).
Baker and Wurgler (2006, 2007) also employ ponent analysis to construct a sentiment measure, and they extend the literature by quantifyin