Paskelian, Ohannes George; Hassan, M. Kabir; Huff, … - In: Applied Financial Economics 21 (2011) 19, pp. 1451-1461
This study looks for the presence of rational speculative bubbles in Real Estate Investment Trusts (REITs) using unit-root, variance ratio, duration dependence and regime switching regression tests. The regime switching method provides weak evidence of speculative bubble behaviour in both the...