Abstract
•We test for the occurrence of price bubbles in equity real estate investment trusts (REITs) classified by property focus using data from January 1980 to December 2017.•Our analysis considers the overall equity REIT index and seven major property sectors.•We show significant bubble periods in the overall equity REIT index and all property sectors including Diversified, Healthcare, Industrial/Office, Lodging/Resorts, Residential, Retail, and Self-Storage except for Lodging/Resorts.•We observe unique patterns in the price bubbles for the six property sectors.
This paper examines the occurrence of price bubbles in equity real estate investment trusts (REITs) classified by property types. We employ the Generalized Supremum Augmented Dickey–Fuller (GSADF) methodology to a sample spanning January 1980–December 2017. The analysis considers the overall equity REIT index and seven major property sectors including Diversified, Healthcare, Industrial/Office, Lodging/Resorts, Residential, Retail, and Self-Storage. Our results reveal significant bubble periods in the overall equity REIT index and all property sectors except for Lodging/Resorts. Interestingly, we observe unique patterns in the price bubbles for all remaining six property sectors. Our results confirm that each property sector represents a distinct line of business.
