Date stamping bubbles in Real Estate Investment Trusts

• We test for single and multiple bubble periods in four Real Estate Investment Trust.
• Our approach allows us to estimate the beginning and the end of bubble periods.
• We use the CRSP/Ziman monthly REIT index from January 1980 through September 2013.
• We find bubbles in the REIT index and its three components: Equity, Mortgage and Hybrid REITs.

We test for the existence of single and multiple bubble periods in four Real Estate Investment Trust (REIT) indices using the Supremum Augmented Dickey–Fuller (SADF) and the Generalized SADF. These methods allow us to estimate the beginning and the end of bubble periods. Our results provide statistically significant evidence of speculative bubbles in the REIT index and its three components: Equity, Mortgage and Hybrid REITs. These results may be valuable for real estate financial managers and for investors in REITs.