Testing for bubbles in indirect property price cycles

Article English OPEN
Brooks, Chris; Katsaris, Apostolos; McGough, Tony; Tsolacos, Sotiris;
(2001)

Speculative bubbles are generated when investors include the expectation of the future price in their information set. Under these conditions, the actual market price of the security, that is set according to demand and supply, will be a function of the future price and... View more
  • References (40)
    40 references, page 1 of 4

    Abraham,J.M. and Hendershott, P.H.: 'Bubbles in Metropolitan Housing Markets', Journal of Housing Research', 7(2) (1996) 191-207

    Baumol W. J.: 'Speculation, Profitability and Stability', Review of Econometrics and Statistics, 39 (1957) 263-271

    Bourassa, S. and Hendershott, P.: 'Australian Capital City Real House Prices, 1973-1993', Australian Economic Review, 3rd quarter 1995, 16-26.

    Brooks, C. and Tsolacos, S.: 'Property Returns and the Macroeconomy', Journal of Property Research, 16(2) (1999) 139-52

    Campbell J., Shiller R.: 'Cointegration and Tests of Present Value Models', Journal of Political Economy 95, (1987) 1062-1088

    ________: 'Stock Prices, Earnings and Expected Dividends', Journal of Finance (1988) 43, 661-676

    Chan, C.K., Hendershott, P.H. and Sanders, A.B.: 'Risk and Return on Real Estate: Evidence From Equity REITs', American Real Estate and Urban Economics Association Journal 18, (1990) 431-52.

    Charezma, W.W. and Deadman, D.F.: 'Rational and Intrinsic Bubbles: A Reinterpretation of Empirical Results, Applied Financial Economics, 5 (1995) 199-202

    Craine R.: 'Rational Bubbles: A Test', Journal of Economic Dynamics and Control, 17 (1993) 829-846

    Dezhbakhsh ., Demirguc-Kunt A.: 'On the presence of Speculative Bubbles in Stock Prices', Journal of Financial and Quantitative Analysis, 25 (1990) 101-112

  • Metrics
Share - Bookmark