Forecast the Collapse of Speculative Bubbles for European Securitized Real Estate

2009 ◽  
Keyword(s):  
Real Estate ◽  
Speculative Bubbles

scholarly journals Is There A Periodically Collapsing Bubble In The Indian Real Estate Market?

2012 ◽  
Vol 29 (1) ◽  
pp. 167 ◽  
Author(s):  
Vijay Kumar Vishwakarma
Keyword(s):  
Real Estate ◽  
Real Estate Market ◽  
Asymmetric Adjustment ◽  
Speculative Bubble ◽  
Speculative Bubbles ◽  
Long Run ◽  
Conventional Tests ◽  
Auto Regressive ◽  
Definition Of ◽  
Long Run Equilibrium

The study finds evidence in favor of Evans (1991) definition of periodically collapsing speculative bubbles in the Indian real estate market when the market is tested for a bubble by examining data from May 1, 2009, to May 30, 2012. Using consistent momentum threshold auto regressive (MTAR) model developed by Enders and Siklos (2001) with Chans (1993) methodology, this study finds evidence of co-integration as well as asymmetric adjustment toward long-run equilibrium, which is evidence of a periodically collapsing positive speculative bubble. However, except for the residuals-augmented DickeyFuller (RADF) test, none of the conventional tests such as the augmented DickeyFuller and the PhillipsPerron tests find evidence of a bubble.

scholarly journals Speculative Bubbles and their Components on the Real Estate Market–A Preliminary Analysis

2016 ◽  
Vol 24 (1) ◽  
pp. 87-99 ◽  
Author(s):  
Justyna Brzezicka
Keyword(s):  
Real Estate ◽  
Real Estate Market ◽  
Market Prices ◽  
Speculative Bubble ◽  
The Real ◽  
The Real Estate ◽  
Speculative Bubbles ◽  
Price Bubbles ◽  
The Real Estate Market ◽  
Over Time

Abstract Various speculative phenomena arise on the real estate market, and the speculative bubble (SB) is one of the best known events of the type. Speculative bubbles still have many unidentified components, and are characterized by high research potential due to the multiple factors responsible for bubble creation, as well as considerable practical implications on account of the multivariate results describing the real estate market (REM) and its surroundings. Speculative price bubbles are associated mainly with changes in price trends on the real estate market. A thorough analysis of a speculative bubble over time demonstrates trend changes also in other research categories which constitute bubble components and elements of the real estate market and its surroundings. The above criteria were used to identify a new research category termed speculative bubble components (SBC). The research hypothesis states that speculative bubbles should be analyzed based not only on prices, but also on bubble components. The objectives of this study were to: 1) classify speculative phenomena on the REM, 2) describe a speculative bubble based on market prices and SBC, and 3) present the results of a study evaluating speculative bubble components in relation to market prices, and discuss the trajectories of the analyzed research categories over time. This study attempts to determine whether a speculative bubble can be analyzed in view of its components, and which elements of the real estate market and its surroundings can be classified as SBC. Attempts were also made to identify a research method that supports the identification of SBC variables and classification of variables into groups, and explains market prices in view of the identified variables and groups. The research relies on a review of literature in the theoretical part and statistical analyses in the experimental part. The results will broaden our knowledge of the mechanisms behind speculative phenomena on the real estate market.

scholarly journals Pricked by the Virus for good? Real Estate Bubbles and the Grand European Shutdown

2021 ◽  
Author(s):  
Marko Malović ◽  
Miloš Roganović ◽  
Mustafa Özer
Keyword(s):  
United Kingdom ◽  
Real Estate ◽  
Research Question ◽  
Real Estate Market ◽  
The Real ◽  
The Real Estate ◽  
Speculative Bubbles ◽  
The United Kingdom ◽  
The Real Estate Market ◽  
Real Estate Prices

Research Question: The objective of this particular piece of research was to evaluate the condition of the real estate market in the period preceding the pandemic outbreak. Motivation: Our goal was to determine whether real estate has been overpriced, i.e., whether and when speculative bubbles began to form and whether there were indications of their bursting. This paper brings together the need for discussing theories that can potentially explain the real estate market bubbles and boom-bust cycles (Gleaser &Nathanson, 2014) and the new approach which proved promising to detect the exuberance of economic and financial activities (Phillips, Shi &Yu, 2015). Potential collapse of real estate prices would have devastating effects and would likely cause a collapse of the financial system. Idea: The core idea of this paper was to evaluate whether speculative bubbles could be detected in the real estate market over the period immediately before the outbreak of the COVID-19 virus pandemic, and whether the pandemic or the financial crisis arising from it led to bursting of bubbles in this market and consequently brought their economies into even deeper crises. Data: Quarterly price movements were analyzed in the real estate market in six countries: Italy, Spain, the United Kingdom, Serbia, Croatia and Slovenia in the period Q1 1980 - Q4 2019 for Italy, Spain and the United Kingdom; Q1 2002 - Q4 2019 for Serbia and Croatia and Q1 2007 - Q4 2019 for Slovenia. Tools: Empirical analysis has been performed by utilizing generalized sub-augmented Dickey-Fuller (GSADF) test of unit roots for the detection and data stamping of bubbles in the real estate market in time series at hand. Findings: In conclusion, grand European shutdown and COVID pandemic apparently did not prick multiplicity of previously formed real estate bubbles, at least not for the time being. Moreover, in several developing countries with stunted financial markets, the virus may have somewhat paradoxically solidified real estate prices and even sustained a build-up of rational real estate bubbles. Contribution: This paper expands previous research on real estate bubbles and provides new insights into the initial consequences of the COVID-19 pandemic.

Bubbles in US hotel/lodging real estate investment trusts

2018 ◽  
Vol 36 (2) ◽  
pp. 171-190
Author(s):  
Fahad Almudhaf
Keyword(s):  
Real Estate ◽  
Firm Value ◽  
Financial Economic ◽  
Shareholder Wealth ◽  
Negative Effects ◽  
Real Estate Investment ◽  
Trading Rules ◽  
Content Type ◽  
Speculative Bubbles ◽  
Multiple Bubbles

Purpose The purpose of this paper is to test for the presence of bubbles in the US lodging/hotel real estate investment trust (REIT) subsector from 1994 to 2016. It also compares the profitability of a buy-and-hold strategy with several technical trading rules when applied to lodging REITs. Design/methodology/approach To investigate speculative bubbles, the sequential right-sided unit root tests of Phillips, Shi and Yu (2015a, b) are used. Findings The results confirm the possibility of the existence of multiple bubbles and explosive behavior in prices and the price-dividend ratio. One of the detected bubbles coincides with the financial economic crisis of 2008 using both measures. In addition, several technical rules are found to be superior to a naïve buy-and-hold strategy even after adjusting for risk. Practical implications These findings will be of interest to policy makers, who can use such models as an early alert to take anticipative action to avoid bursting of bubbles and consequent negative effects on the economy. The findings also provide important information to investors attempting to devise trading rules that utilize the signals from bubble detection, as well as to hotel executives devising policies aimed at reducing risk and creating more firm value to maximize shareholder wealth. Moreover, valuation and bubbles are important to lenders and creditors who use assets as collaterals for financing hotel REITs. Originality/value Hotels are a unique hybrid of retail and housing that combine operating business with real estate. This paper is the first to investigate speculative bubbles in lodging REITs.

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