Evans (1991) demonstrates that the unit root tests recommended by Hamilton and Whiteman (1985) and Diba and Grossman (1988) will fail to detect periodically collapsing rational bubbles. Hall et al. (1999) however show that the power of this test procedure can be improved by incorporating a...

Between June 1998 and March 2006, the price index of apartment housing in Seoul, Republic of Korea, more than doubled, while fundamentals such as gross domestic product, wage, and population increased by less than 35%. This study examines the role of a rational speculative bubble in this price...

This study explores the short-run predictability of, and the risks facing investors in, Singapore's private housing market. We explicitly model a periodically collapsing rational speculative bubble within the present-value framework, and propose an unconventional approach as a first-step to...

Between June 1998 and March 2006, the price index of apartment housing in Seoul, Republic of Korea, more than doubled, while fundamentals such as gross domestic product, wage, and population increased by less than 35%. This study examines the role of a rational speculative bubble in this price...

The current study attempts to investigate the proposition that Hong Kong residential market is only driven by a rational speculative bubble, in addition to fundamentals. The fundamentals are chosen according to the present value model, but will account for latent private information. Potential...

Since the early 1980s, the debate surrounding speculative bubbles has never subsided. A key obstacle to resolving this issue is the identification problem. A bubble is usually inferred from some assumed fundamental determinants of a price. These assumptions could be oversimplified. Furthermore,...

Large swings in real estate prices that end in devastating crashes have been witnessed by many countries in the past two decades. To curtail the damage of these crashes, it is imperative that we understand their causes. This study proposes a model that associates market crashes with periodically...

This study investigates the extent to which returns from the listed real estate sector are related to returns in the direct real estate market for the US and for six European countries: France, Germany, the Netherlands, Sweden, Switzerland and the UK. Past research has often used valuation based...

The present value model states that the price of an asset is equal to the properly discounted future cash flows generated by this piece of asset. This view needs to be modified in real estate markets. Agents in a real estate market can be broadly divided into those who buy to use and those who...