International Evidence on Real Estate Securities as an Inflation Hedge

Crocker H. Liu, David J. Hartzell and Martin Hoesli

Real Estate Economics, 1997, vol. 25, issue 2, 193-221

Abstract: The current study investigates whether real estate securities continue to act as a perverse inflation hedge in foreign countries given security design differences. Both a stationary and a nonstationary risk free rate are alternatively used in conjunction with the methodology of Fama and Schwert (1977) and also the methodology of Geske and Roll (1983) to investigate this question. Real estate securities provide a worse hedge against inflation relative to common stocks in some countries and are comparable to stocks in other countries. Also, evidence supports the reverse causality model of Geske‐Roll.

Date: 1997
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https://doi.org/10.1111/1540-6229.00712

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Working Paper: International evidence on real estate securities as an inflation hedge (1993)
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Real Estate Economics is currently edited by Crocker Liu, N. Edward Coulson and Walter Torous

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