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.
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Financial Economics Letters.
Volume (Year): 1 (2005)
Issue (Month): 2 (March)
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