Are There Rational Speculative Bubbles in Reits?

Posted: 9 Sep 2005

See all articles by Benjamas Jirasakuldech

Benjamas Jirasakuldech

University of the Pacific (UOP) - Eberhardt School of Business

Robert D. Campbell

Hofstra University

John R. Knight

University of the Pacific - Eberhardt School of Business

Abstract

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.

Keywords: REITs, Russell 2000, Rational Expectations Bubbles, Duration Dependence

Suggested Citation

Jirasakuldech, Benjamas and Campbell, Robert D. and Knight, John Ross, Are There Rational Speculative Bubbles in Reits?. Journal of Real Estate Finance and Economics, Vol. 32, No. 2, 2006, Available at SSRN: https://ssrn.com/abstract=796086

Benjamas Jirasakuldech (Contact Author)

University of the Pacific (UOP) - Eberhardt School of Business ( email )

3601 Pacific Avenue
Stockton, CA 95211
United States
209-946-2176 (Phone)
209-946-2586 (Fax)

Robert D. Campbell

Hofstra University ( email )

Hempstead, NY 11549
United States

John Ross Knight

University of the Pacific - Eberhardt School of Business ( email )

3601 Pacific Avenue
Stockton, CA 95219
United States
209-946-2637 (Phone)
209-946-2586 (Fax)

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