Abstract
Executive Summary. This paper is the first to utilize adirect test for periodic, partially collapsing speculativebubbles in real estate investment trust (REIT) prices inthe United States. A long history of data is employed forthe All, Mortgage, Hybrid, and Equity REIT categories.This approach is more powerful than existing tests andsome support is found for the presence of speculative bubbles.Time-varying probabilities are computed for beingin the surviving and collapsing regimes. The papershows how this information could be used in developinga signal to inform investors' decisions on timing a marketexit, thereby shielding their portfolios from the effectsof periodically bursting bubbles or indeed taking advantageof such bubbles to both increase returns and reducerisk.
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