Date Stamping Bubbles in Real Estate Investment Trusts
23 Pages Posted: 26 Jan 2016
Date Written: October 19, 2015
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.
Keywords: Generalized Sup ADF, Real Estate, REITs, Speculative Bubbles
JEL Classification: C22, G12
Suggested Citation: Suggested Citation