Date Stamping Bubbles in Real Estate Investment Trusts

23 Pages Posted: 26 Jan 2016

See all articles by Diego Escobari

Diego Escobari

University of Texas - Pan American - College of Business Administration - Department of Economics & Finance; Texas A&M University - Department of Economics

Mohammad Jafarinejad

University of Wisconsin - Whitewater

Date Written: October 19, 2015

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.

Keywords: Generalized Sup ADF, Real Estate, REITs, Speculative Bubbles

JEL Classification: C22, G12

Suggested Citation

Escobari, Diego and Jafarinejad, Mohammad, Date Stamping Bubbles in Real Estate Investment Trusts (October 19, 2015). Quarterly Review of Economics and Finance, Forthcoming, Available at SSRN: https://ssrn.com/abstract=2722343 or http://dx.doi.org/10.2139/ssrn.2722343

Diego Escobari (Contact Author)

University of Texas - Pan American - College of Business Administration - Department of Economics & Finance ( email )

1201 W. University Drive
Edinburg, TX 78539-2999
United States

HOME PAGE: http://faculty.utrgv.edu/diego.escobari

Texas A&M University - Department of Economics ( email )

5201 University Blvd.
College Station, TX 77843-4228
United States

Mohammad Jafarinejad

University of Wisconsin - Whitewater ( email )

800 W. Main
Whitewater, WI 53190
United States

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