Date Stamping Bubbles in Real Estate Investment Trusts

Escobari, Diego and Jafarinejad, Mohammad (2015): Date Stamping Bubbles in Real Estate Investment Trusts. Forthcoming in: The Quarterly Review of Economics and Finance

Abstract

We test for the existence of single and multiple bubble periods in four Real Estate Investment Trust (REIT) indices using the Supremum Augmented Dickey-Fuller (SADF) and the Generalized SADF. These methods allow us to estimate the beginning and the end of bubble periods. Our results provide statistically significant evidence of speculative bubbles in the REIT index and its three components: Equity, Mortgage and Hybrid REITs. These results may be valuable for real estate financial managers and for investors in REITs.

• Item Type: MPRA Paper
• Language: English
• Keywords: Generalized Sup ADF; Real Estate; REITs; Speculative Bubbles
• Subjects: C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes; G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates; R - Urban, Rural, Regional, Real Estate, and Transportation Economics > R3 - Real Estate Markets, Spatial Production Analysis, and Firm Location

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