Are There Rational Speculative Bubbles in REITs?

Are There Rational Speculative Bubbles in REITs? This study tests for the presence of rational speculative bubbles in the Equity REIT industry. We analyze REIT prices using a vector of macroeconomic fundamentals. Using the unit root test and cointegration procedures, we find no evidence of rational bubbles in the REIT market. Tests for duration dependence in the returns series show no evidence of negative duration dependence, suggesting that REIT markets are not affected by rational bubbles. Applying the same tests, we find no evidence of rational speculative bubbles in the Russell 2000 index, a proxy for small-cap stocks. The Journal of Real Estate Finance and Economics Springer Journals

Are There Rational Speculative Bubbles in REITs?

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Kluwer Academic Publishers
Copyright © 2006 by Springer Science + Business Media, Inc.
Economics; Regional/Spatial Science; Financial Services
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