2015
DOI: 10.2139/ssrn.2722343
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Date Stamping Bubbles in Real Estate Investment Trusts

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 … Show more

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Cited by 15 publications
(15 citation statements)
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“…Our initial empirical approach is also similar to Caspi et al (2015) as we employ PSY to identify multiple episodes of explosive behavior. ‡ ‡ After identifying episodes of explosive behavior, we further ‡ ‡ Previous work that uses the SADF and GSADF to study explosive behavior and bubbles in agricultural commodities as well as in other prices and indices include Gilbert (2010), Yu (2011), Gutierrez (2013), and Escobari and Jafarinejad (2015). our analysis by presenting a simple theoretical framework of energy commodity pricing.…”
Section: Introductionmentioning
confidence: 99%
“…Our initial empirical approach is also similar to Caspi et al (2015) as we employ PSY to identify multiple episodes of explosive behavior. ‡ ‡ After identifying episodes of explosive behavior, we further ‡ ‡ Previous work that uses the SADF and GSADF to study explosive behavior and bubbles in agricultural commodities as well as in other prices and indices include Gilbert (2010), Yu (2011), Gutierrez (2013), and Escobari and Jafarinejad (2015). our analysis by presenting a simple theoretical framework of energy commodity pricing.…”
Section: Introductionmentioning
confidence: 99%
“…For detailed discussions on detection of bubbles in US REITs, see for example,Anderson, Brooks, , and Tsolacos (2011), Nneji, Brooks, , andWard (2013),Escobari and Jafarinejad (2016), and Pavlidis, Yusupova, Paya, Peel, Martinez-Garcia, Mack, and Grossman (2016) for bubbles in international housing markets.3 The decision to use REITs prices instead of housing prices, in this paper at this stage, is primarily because of the fact that, unlike the REITs price index, which is homogenous across the country, housing markets are regional in nature, with tremendous heterogeneity in terms of their response to monetary policy(Gupta and Kabundi (2010);Gupta, Jurgilas, Kabundi, and Miller (2012a);Gupta, Miller, and van Wyk (2012b).4 The TVP-VAR model, not only allows us to accommodate for structural changes, but also model empirically the fact that the overall effect on the observed stock price may change over time as the relative size of the bubble changes, since changes in interest rates have a different impact on the fundamental and bubble components.…”
mentioning
confidence: 99%
“…Different types of tests have been developed to clarify the bubbles beginning with variance bound tests (Shiller, 1981) and runs test (Santony, 1987). At the same time, there are numerous studies in the literature describing the suddenly big movements in financial asset prices and real estate prices (Bettendorf & Chen, 2013;, Escobari & Jafarinejad, 2015Korkmaz, Erer & Erer, 2016) However, the number of works on bubbles related with spot or futures commodity prices is limited. Especially GSADF test used in the study is a very new model developed by Philips et al in 2015.…”
Section: Literaturementioning
confidence: 99%