Date stamping bubbles in Real Estate Investment Trusts

被引：21

作者：

Escobari, Diego ^{[1
]}

Jafarinejad, Mohammad ^{[1
]}

机构：

[1] Univ Texas Rio Grande Valley, Dept Econ & Finance, Edinburg, TX 78539 USA

来源：

QUARTERLY REVIEW OF ECONOMICS AND FINANCE | 2016年 / 60卷

关键词：

Generalized sup ADF; Real estate; REITs; Speculative bubbles;

D O I：

10.1016/j.qref.2015.10.003

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. (C) 2015 The Board of Trustees of the University of Illinois. Published by Elsevier B.V. All rights reserved.

引用

页码：224 / 230

页数：7

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