Testing for periodically collapsing rational speculative bubbles in US REITs

Keith Philip Anderson; Chris Brooks; Sotiris Tsolacos

doi:10.2139/ssrn.1480350

Testing for periodically collapsing rational speculative bubbles in US REITs

Keith Philip Anderson, Chris Brooks, Sotiris Tsolacos

The York Management School

Research output: Contribution to journal › Article › peer-review

Abstract

We are the first to test directly for periodic, partially collapsing speculative bubbles in REITs, looking at several categories of REIT in the US. We compute the time-varying probabilities of being in the surviving and collapsing regimes, and thus estimate a probability that the bubble will burst during the following period. We show how to use this information to develop a signal informing investors’ decisions on timing an exit from the market, thereby shielding them from the effects of bursting bubbles.

Original language	English
Pages (from-to)	227-241
Journal	Journal of Real Estate Portfolio Management
Volume	17
Issue number	3
DOIs	https://doi.org/10.2139/ssrn.1480350
Publication status	Published - 2011

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10.2139/ssrn.1480350

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1480350

Cite this

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title = "Testing for periodically collapsing rational speculative bubbles in US REITs",

abstract = "We are the first to test directly for periodic, partially collapsing speculative bubbles in REITs, looking at several categories of REIT in the US. We compute the time-varying probabilities of being in the surviving and collapsing regimes, and thus estimate a probability that the bubble will burst during the following period. We show how to use this information to develop a signal informing investors{\textquoteright} decisions on timing an exit from the market, thereby shielding them from the effects of bursting bubbles.",

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