Date stamping bubbles in Real Estate Investment Trusts

Diego Escobari and Mohammad Jafarinejad

The Quarterly Review of Economics and Finance, 2016, vol. 60, issue C, 224-230

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.

Keywords: Generalized sup ADF; Real estate; REITs; Speculative bubbles (search for similar items in EconPapers)
JEL-codes: C22 G12 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (18)

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Working Paper: Date Stamping Bubbles in Real Estate Investment Trusts (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:60:y:2016:i:c:p:224-230

DOI: 10.1016/j.qref.2015.10.003

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