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Disentangling bubbles in equity REITs

Author

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

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.

Suggested Citation

  • Huerta-Sanchez, Daniel & Jafarinejad, Mohammad & Kim, Dongshin & Soyeh, Kenneth W., 2020. "Disentangling bubbles in equity REITs," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 357-367.
    • Handle: RePEc:eee:quaeco:v:76:y:2020:i:c:p:357-367
    DOI: 10.1016/j.qref.2019.09.007
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    References listed on IDEAS

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    More about this item

    Keywords

    Generalized supremum ADF; Equity REITs; Price bubbles; REIT property focus;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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