Abstract
This paper examines the occurrence of price bubbles in equity real estate investment trusts (REITs) classified by property types. We employ the Generalized Supremum Augmented Dickey–Fuller (GSADF) methodology to a sample spanning January 1980–December 2017. The analysis considers the overall equity REIT index and seven major property sectors including Diversified, Healthcare, Industrial/Office, Lodging/Resorts, Residential, Retail, and Self-Storage. Our results reveal significant bubble periods in the overall equity REIT index and all property sectors except for Lodging/Resorts. Interestingly, we observe unique patterns in the price bubbles for all remaining six property sectors. Our results confirm that each property sector represents a distinct line of business.
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