Disentangling bubbles in equity REITs

Daniel Huerta-Sanchez, Mohammad Jafarinejad, Dongshin Kim and Kenneth W. Soyeh

The Quarterly Review of Economics and Finance, 2020, vol. 76, issue C, 357-367

Abstract: This paper examines the occurrence of price bubbles in equity real estate investment trusts (REITs) classified by property types. We employ the Generalized Supremum Augmented Dickey–Fuller (GSADF) methodology to a sample spanning January 1980–December 2017. The analysis considers the overall equity REIT index and seven major property sectors including Diversified, Healthcare, Industrial/Office, Lodging/Resorts, Residential, Retail, and Self-Storage. Our results reveal significant bubble periods in the overall equity REIT index and all property sectors except for Lodging/Resorts. Interestingly, we observe unique patterns in the price bubbles for all remaining six property sectors. Our results confirm that each property sector represents a distinct line of business.

Keywords: Generalized supremum ADF; Equity REITs; Price bubbles; REIT property focus (search for similar items in EconPapers)
JEL-codes: C22 G12 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:76:y:2020:i:c:p:357-367

DOI: 10.1016/j.qref.2019.09.007

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