REIT markets and rational speculative bubbles: an empirical investigation
AbstractThis study uses the momentum threshold autoregressive (MTAR) model and the residuals-augmented Dickey-Fuller (RADF) approach to test for the presence of Evans' (1991) periodically collapsing bubbles in four real estate investment trusts (REIT) classifications. The RADF test shows evidence of bubbles, but the results of the MTAR test are mixed. The MTAR test shows asymmetric adjustment for each REIT market with the exception of hybrid REITs, but only mortgage REITs show evidence of bubbles, which turn out to be negative meaning the price falls substantially below the level warranted by fundamentals.
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Financial Economics.
Volume (Year): 17 (2007)
Issue (Month): 9 ()
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Web page: http://www.tandf.co.uk/journals/routledge/09603107.html
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- 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.
- Waters, George A., 2008. "Unit root testing for bubbles: A resurrection?," Economics Letters, Elsevier, vol. 101(3), pages 279-281, December.
- 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.
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