This paper is the first to utilize a direct test for periodic, partially collapsing speculative bubbles in US REIT prices. A long history of data is employed for the All, Mortgage and Equity REIT categories. This approach is more powerful than existing tests and is based on the formulation of a...

In this paper, we study bubble episodes in the United Kingdom private real estate sectors (Retail, O ces, Industrial) over the period December 1986 to April 2022. We use the backward supremum augmented Dickey Fuller (BSADF) approach of Phillips et al. (2015a,b) to identify bubbles and we...

Evidence suggests that rational, periodically collapsing speculative bubbles may be pervasive in stock markets globally, but there is no research that considers them at the individual stock level. In this study we develop and test an empirical asset pricing model that allows for speculative...

This paper uses a regime switching approach to determine whether prices in the stock, direct real estate and indirect real estate markets are driven by the presence of speculative bubbles. The results show significant evidence of the existence of periodically partially collapsing speculative...