This 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...

This note examines the transmission of shocks across REIT sub-sector returns: apartments, industrial, lodging, manufactured homes, office, and regional malls. Though the respective return indices are integrated of order one, Johansen--Juselius cointegration tests suggest that REIT sub-sectors...

Using monthly data from 1994:01 to 2005:03, the results from vector autoregressive models and generalized impulse response analysis indicate that unexpected shocks in industrial production, inflation, term structure, default risk, and the federal funds rate have virtually no statistically...