Payne, James E.; Waters, George A. - In: Applied Financial Economics Letters 1 (2005) 2, pp. 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...
