Access the full text.
Sign up today, get DeepDyve free for 14 days.
A. Johansen, D. Sornette (2010)
Shocks, Crashes and Bubbles in Financial MarketsBrussels economic review, 53
Jim Clayton, Greg Mackinnon (2001)
The Time-Varying Nature of the Link between REIT, Real Estate and Financial Asset ReturnsThe journal of real estate portfolio management, 7
A. Johansen, D. Sornette (2001)
Significance of log-periodic precursors to financial crashesQuantitative Finance, 1
Jian Zhou, Randy Anderson (2013)
An Empirical Investigation of Herding Behavior in the U.S. REIT MarketThe Journal of Real Estate Finance and Economics, 47
R Gürkaynak (2008)
Econometric tests of asset price bubbles: Taking stockJournal of Economic Surveys, 22
K. Case, R. Shiller (2003)
Is There a Bubble in the Housing Market?Brookings Papers on Economic Activity, 2003
W. Charemza, D. Deadman (1995)
Speculative bubbles with stochastic explosive roots: The failure of unit root testingJournal of Empirical Finance, 2
S. Norden (1996)
Regime Switching as a Test for Exchange Rate BubblesEconometrics
W. Boudry, N. Coulson, J. Kallberg, Crocker Liu (2012)
On the Hybrid Nature of REITsThe Journal of Real Estate Finance and Economics, 44
B Lim (2011)
Short-sale constraints and price bubblesJournal of Banking and Finance, 35
Rose Lai, Robert Order (2010)
Momentum and House Price Growth in the United States: Anatomy of a BubbleReal Estate eJournal
Lin Li, R. Ren, D. Sornette (2009)
A Consistent Model of 'Explosive' Financial Bubbles with Mean-Reversing ResidualsERN: Bayesian Analysis (Topic)
O. Blanchard, M. Watson (1982)
Bubbles, Rational Expectations and Financial MarketsCapital Markets: Asset Pricing & Valuation eJournal
J. Payne, G. Waters (2007)
Have Equity REITs Experienced Periodically Collapsing Bubbles?The Journal of Real Estate Finance and Economics, 34
Hans-Christian Bothmer, Christian Meister (2002)
Predicting critical crashes? A new restriction for the free variablesPhysica A-statistical Mechanics and Its Applications, 320
S. Norden, Robert Vigfusson (1998)
Avoiding the Pitfalls: Can Regime-Switching Tests Reliably Detect Bubbles?Studies in Nonlinear Dynamics & Econometrics, 3
Chinmoy Ghosh, Raja Nag, C. Sirmans (2000)
The Pricing of Seasoned Equity Offerings: Evidence from REITsReal Estate Economics, 28
S. Bikhchandani, Sunil Sharma (2000)
Herd Behavior in Financial MarketsIMF Staff Papers, 47
Kicki Björklund, Bo Söderberg (1999)
Property Cycles, Speculative Bubbles and the Gross Income MultiplierJournal of Real Estate Research, 18
Bryan Lim (2011)
Short-sale constraints and price bubblesFuel and Energy Abstracts
G. Evans (1991)
Pitfalls in Testing for Explosive Bubbles in Asset PricesThe American Economic Review, 81
Nicolai Striewe, Nico Rottke, J. Zietz (2013)
The Impact of Institutional Ownership on REIT PerformanceThe journal of real estate portfolio management, 19
S. Norden, Huntley Schaller (1993)
The Predictability of Stock Market Regime: Evidence from the Toronto Stock ExchangeThe Review of Economics and Statistics, 75
S. Hall, Zacharias Psaradakis, M. Solá (1999)
Detecting periodically collapsing bubbles: a Markov‐switching unit root testJournal of Applied Econometrics, 14
O. Blanchard (1979)
Speculative bubbles, crashes and rational expectationsEconomics Letters, 3
D. Sornette, R. Woodard, Wanfeng Yan, Wei‐Xing Zhou (2011)
Clarifications to Questions and Criticisms on the Johansen-Ledoit-Sornette Bubble ModelSwiss Finance Institute Research Paper Series
Keith Anderson, Chris Brooks, S. Tsolacos (2009)
Testing for Periodically Collapsing Rational Speculative Bubbles in US REITsReal Estate
B. Diba, Herschel Grossman (1988)
Explosive Rational Bubbles in Stock PricesThe American Economic Review, 78
R Lai, R Order (2010)
Momentum and house price growth in the United States: anatomy of a bubbleReal Estate Economics, 38
S. Johansen (1991)
Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive ModelsEconometrica, 59
Robert Flood, Peter Garber (1994)
Speculative Bubbles, Speculative Attacks, and Policy Switching
(2001)
Testing for speculation in agricultural land in Ireland
Mark Taylor, D. Peel (1998)
Periodically collapsing stock price bubbles: a robust testEconomics Letters, 61
B. Jirasakuldech, Robert Campbell, J. Knight (2006)
Are There Rational Speculative Bubbles in REITs?The Journal of Real Estate Finance and Economics, 32
Deqing Li, Kenneth Yung (2004)
Short Interests in Real Estate Investment TrustsInternational Real Estate Review, 7
S. Drożdż, F. Grümmer, F. Ruf, J. Speth (2002)
Log-periodic self-similarity: an emerging financial law?Physica A-statistical Mechanics and Its Applications, 324
G. Waters, J. Payne (2007)
REIT markets and rational speculative bubbles: an empirical investigationApplied Financial Economics, 17
E. Hui, Shen Yue (2006)
Housing Price Bubbles in Hong Kong, Beijing and Shanghai: A Comparative StudyThe Journal of Real Estate Finance and Economics, 33
R. Gürkaynak (2005)
Econometric Tests of Asset Price Bubbles: Taking StockCapital Markets: Asset Pricing & Valuation eJournal
O. Paskelian, M. Hassan, Kathryn Huff (2011)
Are there bubbles in the REITs market? New evidence using regime-switching approachApplied Financial Economics, 21
Anders Johansen, Olivier Ledoit, Didier Geophysics, Planetary California, Los Angeles, California Management, U. California, Los Earth, S. Science, California Condensee, Cnrs, Universit'e Antipolis, Nice, France (1998)
CRASHES AS CRITICAL POINTSInternational Journal of Theoretical and Applied Finance, 03
(1990)
Forecasting prices and excess returns in housing markets
Elias Oikarinen, Martin Hoesli, Camilo Serrano (2011)
The Long-Run Dynamics between Direct and Securitized Real EstateJournal of Real Estate Research, 33
This study applies a complex systems approach to test for the presence of rational bubbles in the Equity REITs market. The applied model is based on theoretical implications of the evolution of prices under rational bubble regimes. The advantage of the approach is twofold. The model is able to detect rational bubbles while they rise and to predict the most likely time of their collapse. We apply the model to daily price data on U.S. Equity REITs from 1989 to 2011. Our findings suggest the existence of a bubble for the period of 2003 to 2007. Tests for sub-markets reveal that the bubble developed in the Residential REITs market, but not in the Office REITs market.
The Journal of Real Estate Finance and Economics – Springer Journals
Published: Apr 27, 2013
Read and print from thousands of top scholarly journals.
Already have an account? Log in
Bookmark this article. You can see your Bookmarks on your DeepDyve Library.
To save an article, log in first, or sign up for a DeepDyve account if you don’t already have one.
Copy and paste the desired citation format or use the link below to download a file formatted for EndNote
Access the full text.
Sign up today, get DeepDyve free for 14 days.
All DeepDyve websites use cookies to improve your online experience. They were placed on your computer when you launched this website. You can change your cookie settings through your browser.