REIT markets: periodically collapsing negative bubbles?

  title={REIT markets: periodically collapsing negative bubbles?},
  author={James E. Payne * and George A. Waters},
  journal={Applied Financial Economics Letters},
  pages={65 - 69}
This study tests for the presence of negative bubbles in the REIT markets over the period 1972:01 to 2004:05 using the momentum threshold autoregressive (MTAR) model. There is evidence of asymmetric adjustment towards the long-run equilibrium between REIT prices and dividends indicative of negative bubbles for mortgage and hybrid REITs. 

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