We use Google search frequency to construct a measure of aggregate sentiment in housing markets—Financial, Economic, and Real Estate (FEAR) Index—and analyze its relationship to housing returns. We find that housing markets react inversely to changes in FEAR Index, which captures negative sentiment, and that market characteristics affect the strength of this relationship. More financially distressed markets, as measured by bankruptcy rates and mortgage default double trigger, are more responsive to changes in FEAR Index than less distressed markets, and cold markets (markets with slow price appreciation) are more responsive than hot markets (markets with rapid price appreciation). We also examine these characteristics jointly and find that cold markets with financial distress are the most responsive to negative sentiment. Finally, we show that home prices are more sensitive to negative sentiment during recessionary periods.

中文翻译：

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恐惧指数、城市特征和住房回报

我们使用谷歌搜索频率来构建衡量房地产市场总体情绪的指标——金融、经济和房地产 (FEAR) 指数——并分析其与住房回报的关系。我们发现房地产市场对反映负面情绪的FEAR 指数的变化反应相反，并且市场特征会影响这种关系的强度。以破产率和抵押贷款违约双重触发因素衡量的财务困境更多的市场对FEAR 指数的变化更敏感冷市场（价格升值缓慢的市场）比热市场（价格快速升值的市场）更敏感。我们还联合研究了这些特征，发现存在财务困境的冷市场对负面情绪最敏感。最后，我们表明，在经济衰退期间，房价对负面情绪更为敏感。