Have Equity REITs Experienced Periodically Collapsing Bubbles? |
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Authors: | James E Payne George A Waters |
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Institution: | (1) Department of Economics, Illinois State University, Normal, IL 61790-4200, USA |
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Abstract: | This paper uses the momentum threshold autoregressive (MTAR) model and the residuals-augmented Dickey–Fuller (RADF) test to
examine the possibility of Evans’ (1991) periodically collapsing bubbles in the equity REIT market. The results are mixed.
The MTAR model indicates that overall real equity REIT prices and dividends are cointegrated with asymmetric adjustment towards
the long-run equilibrium. However, the estimated coefficients of the MTAR model do not indicate the presence of periodically
collapsing bubbles. Adjustment in the standard cointegration tests of bubbles for skewness and excess kurtosis via the RADF
test fails to reject the null hypothesis of no cointegration, leaving the possibility of periodically collapsing bubbles.
The MTAR and RADF results with respect to equity REIT sub-sectors are mixed. Lodging is the only sub-sector in which both
the MTAR and RADF results support periodically collapsing bubbles. Moreover, market fundamentals proxied by two alternative
measures of capacity utilization do not explain either real equity REIT prices or dividends. |
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Keywords: | REIT Equity Dividends Periodically collapsing bubbles |
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