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REIT markets and rational speculative bubbles: an empirical investigation

Waters, George A.; Payne, James E. - In: Applied financial economics 17 (2007) 7-9, pp. 747-754

Persistent link: https://www.econbiz.de/10007751333

Have Equity REITs Experienced Periodically Collapsing Bubbles?

Payne, James E.; Waters, George A. - In: The journal of real estate finance and economics 34 (2007) 2, pp. 207-224

Persistent link: https://www.econbiz.de/10007727934

REIT markets and rational speculative bubbles: an empirical investigation

Waters, George A.; Payne, James E. - In: Applied financial economics 17 (2007) 9, pp. 747-754

Persistent link: https://www.econbiz.de/10007740907

REIT markets: periodically collapsing negative bubbles?

Payne, James E.; Waters, George A. - In: Applied Financial Economics Letters 1 (2005) 2, pp. 65-69

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...

Persistent link: https://www.econbiz.de/10005495868

REIT markets and rational speculative bubbles: an empirical investigation

Waters, George A.; Payne, James E. - In: Applied Financial Economics 17 (2007) 9, pp. 747-753

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...

Persistent link: https://www.econbiz.de/10005452260