Eres : Digital Library : Works

Paper eres2013_57:
Are there Rational Bubbles in REITs? New Evidence Using a Complex System Approach

id eres2013_57
authors Brauers, Maximilian; Matthias Thomas, Joachim Zietz
year 2013
title Are there Rational Bubbles in REITs? New Evidence Using a Complex System Approach
source 20th Annual European Real Estate Society Conference in Vienna, Austria
summary 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.
keywords REITs, Rational expectation bubbles, Complex systems, LPPL model
series ERES:conference
type paper session
email maximilian.brauers@ebs-remi.de
more http://library.eres.org/cgi-bin/rsa98.pl?conf=ERES2013&type=session&theme=G&slot=5704
discussion No discussions. Post discussion ...
ratings
session G-5: Market Research, Analysis & Forecasting
last changed 2014/10/21 21:51
HOMELOGIN (you are user _anon_284953 from group guest) Powered by SciX Open Publishing Services 1.002