Logo
Munich Personal RePEc Archive

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

[thumbnail of MPRA_paper_67372.pdf]
Preview
PDF
MPRA_paper_67372.pdf

Download (427kB) | Preview

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.

Atom RSS 1.0 RSS 2.0

Contact us: mpra@ub.uni-muenchen.de

This repository has been built using EPrints software.

MPRA is a RePEc service hosted by Logo of the University Library LMU Munich.