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Duration dependence in real estate investment trusts

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  • James Payne
  • Thomas Zuehlke

Abstract

Hazard models are used to test for duration dependence in the market for real estate investments trusts. Duration dependence implies an ability to predict the turning points of a cycle. In a sense, these models attempt to predict the timing of mean reversion of the market indices. Since the only sample information used in these tests is the length of time between turning points of the cycle, this methodology avoids the more challenging task of modelling the quantitative values of the series, and should provide relatively robust results because of the relatively weak structure imposed on the estimation process. Empirical evidence of duration dependence is found for all samples except mortgage REIT expansions.

Suggested Citation

  • James Payne & Thomas Zuehlke, 2006. "Duration dependence in real estate investment trusts," Applied Financial Economics, Taylor & Francis Journals, vol. 16(5), pages 413-423.
    • Handle: RePEc:taf:apfiec:v:16:y:2006:i:5:p:413-423
    DOI: 10.1080/09603100500391099
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    References listed on IDEAS

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    1. Francis X. Diebold & Glenn Rudebusch & Daniel Sichel, 1993. "Further Evidence on Business-Cycle Duration Dependence," NBER Chapters, in: Business Cycles, Indicators, and Forecasting, pages 255-284, National Bureau of Economic Research, Inc.
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    3. James Payne & Hassan Mohammadi, 2004. "The transmission of shocks across real estate investment trust (REIT) markets," Applied Financial Economics, Taylor & Francis Journals, vol. 14(17), pages 1211-1217.
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    5. Zuehlke, Thomas W, 2003. "Business Cycle Duration Dependence Reconsidered," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(4), pages 564-569, October.
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    Cited by:

    1. Robert Brooks & Tim Fry & William Dimovski & Sandra Mihajilo, 2009. "A duration analysis of the time from prospectus to listing for Australian initial public offerings," Applied Financial Economics, Taylor & Francis Journals, vol. 19(3), pages 183-190.
    2. George A. Waters & James E. Payne, 2007. "REIT markets and rational speculative bubbles: an empirical investigation," Applied Financial Economics, Taylor & Francis Journals, vol. 17(9), pages 747-753.
    3. Lee, Chien-Chiang & Lee, Cheng-Feng & Lee, Chi-Chuan, 2014. "Asymmetric dynamics in REIT prices: Further evidence based on quantile regression analysis," Economic Modelling, Elsevier, vol. 42(C), pages 29-37.

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