We investigate the presence of rational speculative bubbles in the exchange rates of the British pound, the Canadian dollar, the Danish krone, the Japanese yen and the South African rand against the US dollar. The unit root test shows that the exchange rates and fundamental variables - money...

This study examines the return behavior of 15 emerging equity markets for persistent deviations from the fundamental value hypothesis. The duration dependence test shows that rational expectations bubble do not cause deviations from fundamental value in any of the markets. Markov chain test...

The presence of rational speculative bubbles in 28 commodities is investigated using the duration dependence test on the stochastic interest-adjusted basis. 11 of 28 commodities experienced some episodes of rational speculative bubble. These commodities are WTI crude oil, coffee, corn, soybean...

We examine the dynamic behavior of EREIT returns and volatility during the pre- and post-1991 REIT major organizational and structural changes. We find evidence of non-random walk and asymmetric price change pattern, and increases in the EREIT volatility during the 1990s REITs structural shift....

The fact that stock market is unpredictable does not deter investors, pundits, and academicians from speculating about the next market move. This paper uses multiple benchmarks to judge the current level of the stock market. Among those benchmarks are bonds; commodities; REITs; international...

We investigate the presence of rational speculative bubbles in 28 commodities traded in the U.S. markets. Using the duration dependence test on the stochastic interest-adjusted basis, we find that 11 of 28 commodities experienced some episodes of rational speculative bubble. These commodities...

The fact that stock market is unpredictable does not deter investors, pundits, and academicians from speculating about the next market move. This paper uses multiple benchmarks to judge the current level of the stock market. Among those benchmarks are bonds; commodities; REITs; international...

This study examines a cohort of 195 public Equity REITs that are NAREIT members in 1998, and measures changes in corporate status 1998-2002. Sixty five firms, a full one third of the cohort group, exit from NAREIT membership during the four-year period of study. The most commonly used vehicle...

[abstract missing - contribution appeared in the programme]

ERES:conference