REIT markets and rational speculative bubbles: an empirical investigation
This 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.
Year of publication: |
2007
|
---|---|
Authors: | Waters, George A. ; Payne, James E. |
Published in: |
Applied Financial Economics. - Taylor & Francis Journals, ISSN 0960-3107. - Vol. 17.2007, 9, p. 747-753
|
Publisher: |
Taylor & Francis Journals |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
Payne, James E., (2008)
-
REIT markets and rational speculative bubbles : an empirical investigation
Waters, George, (2007)
-
Have equity REITs experienced periodically collapsing bubbles?
Payne, James E., (2007)
- More ...