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Applied Financial Economics Volume 17, 2007 - Issue 9
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Original Articles

REIT markets and rational speculative bubbles: an empirical investigation

George A. Waters Department of Economics, Illinois State University, Normal, IL, 61790-4200, USA
&
James E. Payne Department of Economics, Illinois State University, Normal, IL, 61790-4200, USACorrespondence[email protected]
Pages 747-753 | Published online: 05 Jun 2007

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Read on this site (6)

Roselyne Joyeux & George Milunovich. (2015) Speculative bubbles, financial crises and convergence in global real estate investment trusts. Applied Economics 47:27, pages 2878-2898.
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Renatas Kizys & Christian Pierdzioch. (2012) Why do speculative bubbles gather steam? Some international evidence. Applied Economics Letters 19:11, pages 1089-1093.
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MeiChi Huang. (2012) Forecasts and implications of the current housing crisis: switching regimes in a threshold framework. Applied Economics Letters 19:6, pages 557-568.
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Ohannes George Paskelian, M. Kabir Hassan & Kathryn Whittaker Huff. (2011) Are there bubbles in the REITs market? New evidence using regime-switching approach. Applied Financial Economics 21:19, pages 1451-1461.
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Keith Anderson, Chris Brooks & Sotiris Tsolacos. (2011) Testing for Periodically Collapsing Rational Speculative Bubbles in U.S. REITs. Journal of Real Estate Portfolio Management 17:3, pages 227-241.
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Yen-Hsien Lee & Chien-Liang Chiu. (2010) Nonlinear adjustment of short-term deviations impacts on the US real estate market. Applied Economics Letters 17:6, pages 597-603.
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Articles from other publishers (19)

Shu Ling Chiang & Ming Shann Tsai. (2023) Analyses for the effects of investor sentiment on the price adjustment behaviors for stock market and REIT market. International Review of Economics & Finance 86, pages 425-439.
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George D. Cashman, David M. Harrison & Hainan Sheng. (2022) Short selling and options trading: A tale of two markets. Journal of Financial Research 45:2, pages 313-338.
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Daniel Huerta-Sanchez, Mohammad Jafarinejad, Dongshin Kim & Kenneth W. Soyeh. (2020) Disentangling bubbles in equity REITs. The Quarterly Review of Economics and Finance 76, pages 357-367.
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Zixiong Xie, Shyh-Wei Chen & An-Chi Wu. (2019) Asymmetric adjustment, non-linearity and housing price bubbles: New international evidence. The North American Journal of Economics and Finance 50, pages 101036.
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Fahad Almudhaf. (2018) Bubbles in US hotel/lodging real estate investment trusts. Journal of Property Investment & Finance 36:2, pages 171-190.
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Shyh-Wei Chen & Zixiong Xie. (2017) Detecting speculative bubbles under considerations of the sign asymmetry and size non-linearity: New international evidence. International Review of Economics & Finance 52, pages 188-209.
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Shyh-Wei Chen & Zixiong Xie. (2017) Asymmetric adjustment and smooth breaks in dividend yields: Evidence from international stock markets. International Review of Economics & Finance 48, pages 339-354.
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Diego Escobari & Mohammad Jafarinejad. (2016) Date stamping bubbles in Real Estate Investment Trusts. The Quarterly Review of Economics and Finance 60, pages 224-230.
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Shyh-Wei Chen, Chi-Sheng Hsu & Zixong Xie. (2016) Are there periodically collapsing bubbles in the stock markets? New international evidence. Economic Modelling 52, pages 442-451.
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Philipp Adämmer & Martin T. Bohl. (2015) Speculative bubbles in agricultural prices. The Quarterly Review of Economics and Finance 55, pages 67-76.
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Zixiong Xie & Shyh-Wei Chen. (2015) Are there periodically collapsing bubbles in the REIT markets? New evidence from the US. Research in International Business and Finance 33, pages 17-31.
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Diego Escobari, Damian S. Damianov & Andres Bello. (2013) A time series test to identify housing bubbles. Journal of Economics and Finance 39:1, pages 136-152.
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Chien-Chiang Lee, Cheng-Feng Lee & Chi-Chuan Lee. (2014) Asymmetric dynamics in REIT prices: Further evidence based on quantile regression analysis. Economic Modelling 42, pages 29-37.
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Maximilian Brauers, Matthias Thomas & Joachim Zietz. (2013) Are There Rational Bubbles in REITs? New Evidence from a Complex Systems Approach. The Journal of Real Estate Finance and Economics 49:2, pages 165-184.
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Abbas Valadkhani. (2013) The pricing behaviour of Australian banks and building societies in the residential mortgage market. Journal of International Financial Markets, Institutions and Money 26, pages 133-151.
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J. Cuñado, L.A. Gil-Alana & F. Perez de Gracia. (2012) Testing for persistent deviations of stock prices to dividends in the Nasdaq index. Physica A: Statistical Mechanics and its Applications 391:20, pages 4675-4685.
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George A. Waters. (2008) Unit root testing for bubbles: A resurrection?. Economics Letters 101:3, pages 279-281.
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Diego Escobari & Mohammad Jafarinejad. (2015) Date Stamping Bubbles in Real Estate Investment Trusts. SSRN Electronic Journal.
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K. P. Anderson, Chris Brooks & Sotiris Tsolacos. (2009) Testing for Periodically Collapsing Rational Speculative Bubbles in US REITs. SSRN Electronic Journal.
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