REIT markets: periodically collapsing negative bubbles?
AbstractThis study tests for the presence of negative bubbles in the REIT markets over the period 1972:01 to 2004:05 using the momentum threshold autoregressive (MTAR) model. There is evidence of asymmetric adjustment towards the long-run equilibrium between REIT prices and dividends indicative of negative bubbles for mortgage and hybrid REITs.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Financial Economics Letters.
Volume (Year): 1 (2005)
Issue (Month): 2 (March)
Contact details of provider:
Web page: http://www.tandf.co.uk/journals/titles/17446546.asp
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Karl E. Case & Robert J. Shiller, 1990.
"Forecasting Prices and Excess Returns in the Housing Market,"
NBER Working Papers
3368, National Bureau of Economic Research, Inc.
- Karl E. Case & Robert J. Shiller, 1990. "Forecasting Prices and Excess Returns in the Housing Market," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 18(3), pages 253-273.
- Bohl, Martin T., 2003. "Periodically collapsing bubbles in the US stock market?," International Review of Economics & Finance, Elsevier, vol. 12(3), pages 385-397.
- Bennett T. McCallum, .
"Role of the minimal state variable criterion in rational expectations models,"
GSIA Working Papers
1999-13, Carnegie Mellon University, Tepper School of Business.
- Bennett McCallum, 1999. "Role of the Minimal State Variable Criterion in Rational Expectations Models," International Tax and Public Finance, Springer, vol. 6(4), pages 621-639, November.
- G. Capelle-Blancard & H. Raymond, 2004. "Empirical evidence on periodically collapsing stock price bubbles," Applied Economics Letters, Taylor and Francis Journals, vol. 11(1), pages 61-69.
- Enders, Walter & Granger, Clive W J, 1998.
"Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 16(3), pages 304-11, July.
- Enders, Walter & Granger, C. W. J., 1998. "Unit Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates," Staff General Research Papers 1388, Iowa State University, Department of Economics.
- Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991.
"Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?,"
Cowles Foundation Discussion Papers
979, Cowles Foundation for Research in Economics, Yale University.
- Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
- Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers 8905, Michigan State - Econometrics and Economic Theory.
- Tom Doan, . "KPSS: RATS procedure to perform KPSS (Kwiatowski, Phillips, Schmidt, and Shin) stationarity test," Statistical Software Components RTS00100, Boston College Department of Economics.
- Evans, George W, 1991. "Pitfalls in Testing for Explosive Bubbles in Asset Prices," American Economic Review, American Economic Association, vol. 81(4), pages 922-30, September.
- Diba, Behzad T & Grossman, Herschel I, 1988. "Explosive Rational Bubbles in Stock Prices?," American Economic Review, American Economic Association, vol. 78(3), pages 520-30, June.
- L. Sarno & M. P. Taylor, 2003. "An empirical investigation of asset price bubbles in Latin American emerging financial markets," Applied Financial Economics, Taylor and Francis Journals, vol. 13(9), pages 635-643.
- Cuñado, J. & Gil-Alana, L.A. & Perez de Gracia, F., 2012. "Testing for persistent deviations of stock prices to dividends in the Nasdaq index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(20), pages 4675-4685.
- Otavio Ribeiro de Medeiros and Vitor Leone, 2012. "Multiple Changes in Persistence vs. Explosive Behaviour: The Dotcom Bubble," Working Papers 2012/02, Nottingham Trent University, Nottingham Business School, Economics Division.
- James Payne & George Waters, 2007. "Have Equity REITs Experienced Periodically Collapsing Bubbles?," The Journal of Real Estate Finance and Economics, Springer, vol. 34(2), pages 207-224, February.
- Keith Anderson & Chris Brooks & Sotiris Tsolacos, 2009. "Testing for periodically collapsing rational speculative bubbles in US REITs," ICMA Centre Discussion Papers in Finance icma-dp2009-11, Henley Business School, Reading University.
- Catherine Araujo Bonjean & Catherine Simonet, 2012. "Are grain markets in Niger driven by speculation?," Working Papers halshs-00626409, HAL.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).
If references are entirely missing, you can add them using this form.