We examine the residential property market in the United States during the period 1960?2009, focusing on the long run relationship between house prices and rents. Using a Markov regime switching model, we find that a structural break occurred in the price-rent ratio series in 1998, which may...

The article examines whether commodity risk is priced in the cross-section of equity returns. Alongside a long-only equally-weighted portfolio of commodity futures, we employ as an alternative commodity risk factor a term structure portfolio that captures the propensity of commodity futures...

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...

This paper examines the performance of various statistical models and commonly used financial indicators for forecasting securitised real estate index returns for five European countries: the UK, Belgium, The Netherlands, France and Italy. Within a VAR framework it is demonstrated that the...

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...

This paper employs a probit and a Markov switching model using information from the Conference Board Leading Indicator and other predictor variables to forecast the signs of future rental growth in four key U.S. commercial rent series. We find that both approaches have considerable power to...

This paper employs a probit model and a Markov switching model using information from the Conference Board Leading Indicator series to detect the turning points in four key US commercial rents series. We find that both the approaches based on the leading indicator have considerable power to...

This study presents and empirically tests a simple framework that examines the effects of market liquidity (the ease with which stocks are traded) and funding liquidity (the ease with which market participants can obtain funding) on stock market bubbles. Three key findings emerge from this...