The Journal of Real Estate Finance and Economics

, Volume 34, Issue 2, pp 207–224 | Cite as

Have Equity REITs Experienced Periodically Collapsing Bubbles?

  • James E. Payne
  • George A. Waters


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.


REIT Equity Dividends Periodically collapsing bubbles 


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Copyright information

© Springer Science+Business Media, LLC 2007

Authors and Affiliations

  1. 1.Department of EconomicsIllinois State UniversityNormalUSA

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