Are There Rational Bubbles in REITs? New Evidence from a Complex Systems Approach

Maximilian Brauers (), Matthias Thomas () and Joachim Zietz

The Journal of Real Estate Finance and Economics, 2014, vol. 49, issue 2, 165-184

Abstract: This study applies a complex systems approach to test for the presence of rational bubbles in the Equity REITs market. The applied model is based on theoretical implications of the evolution of prices under rational bubble regimes. The advantage of the approach is twofold. The model is able to detect rational bubbles while they rise and to predict the most likely time of their collapse. We apply the model to daily price data on U.S. Equity REITs from 1989 to 2011. Our findings suggest the existence of a bubble for the period of 2003 to 2007. Tests for sub-markets reveal that the bubble developed in the Residential REITs market, but not in the Office REITs market. Copyright Springer Science+Business Media New York 2014

Keywords: REITs; Rational expectation bubbles; Complex systems; LPPL model; C53; G17 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:kap:jrefec:v:49:y:2014:i:2:p:165-184

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DOI: 10.1007/s11146-013-9420-5

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