Are There Rational Speculative Bubbles in REITs?

Benjamas Jirasakuldech (), Robert Campbell () and John Knight

The Journal of Real Estate Finance and Economics, 2006, vol. 32, issue 2, 105-127

Abstract: This study tests for the presence of rational speculative bubbles in the Equity REIT industry. We analyze REIT prices using a vector of macroeconomic fundamentals. Using the unit root test and cointegration procedures, we find no evidence of rational bubbles in the REIT market. Tests for duration dependence in the returns series show no evidence of negative duration dependence, suggesting that REIT markets are not affected by rational bubbles. Applying the same tests, we find no evidence of rational speculative bubbles in the Russell 2000 index, a proxy for small-cap stocks. Copyright Springer Science + Business Media, Inc. 2006

Keywords: REITs; Russell 2000; Rational expectations bubbles; Duration dependence (search for similar items in EconPapers)
Date: 2006
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (24)

Downloads: (external link)
http://hdl.handle.net/10.1007/s11146-006-6010-9 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:kap:jrefec:v:32:y:2006:i:2:p:105-127

Ordering information: This journal article can be ordered from
http://www.springer. ... ce/journal/11146/PS2

DOI: 10.1007/s11146-006-6010-9

Access Statistics for this article

The Journal of Real Estate Finance and Economics is currently edited by Steven R. Grenadier, James B. Kau and C.F. Sirmans

More articles in The Journal of Real Estate Finance and Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().