Document Type

Article

Publication Date

5-2016

Abstract

We test for the existence of single and multiple bubble periods in four Real Estate Investment Trust (REIT) indices using the Supremum Augmented Dickey-Fuller (SADF) and the Generalized SADF. These methods allow us to estimate the beginning and the end of bubble periods. Our results provide statistically significant evidence of speculative bubbles in the REIT index and its three components: Equity, Mortgage and Hybrid REITs. These results may be valuable for real estate financial managers and for investors in REITs.

Comments

© 2015 Board of Trustees of the University of Illinois. Published by Elsevier Inc. All rights reserved. Original published version available at https://doi.org/10.1016/j.qref.2015.10.003

First Page

224

Last Page

230

Publication Title

The Quarterly Review of Economics and Finance

DOI

10.1016/j.qref.2015.10.003

Included in

Finance Commons

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