Inflation Risk Analysis of European Real Estate Securities

Raimond Mauer () and Steffen P. Sebastian ()
Additional contact information
Raimond Mauer: Goethe-University Frankfurt/Main, 60054 Frankfurt, Germany

Journal of Real Estate Research, 2002, vol. 24, issue 1, pages 47-78

Abstract: The focus of this paper is the analysis of the inflation risk of European real estate securities. Following both a causal and a final understanding of risk, the analysis is twofold: First, to examine the causal influence of inflation on short- and long-term asset returns, we employ different regression approaches based on the methodology of Fama/Schwert 1977. Hedging capacities against expected inflation are found only for German open-end funds. Furthermore, different shortfall risk measures are used to study whether an investment in European real estate securities protects against a negative real return at the end of a given investment period.

JEL-codes: L85 (search for similar items in EconPapers)
Date: 2002
View citations in EconPapers

Downloads: (external link)
http://aux.zicklin.baruch.cuny.edu/jrer/papers/pdf/past/vol24n01/03.47_78.pdf Full text (application/pdf)

Related works:
Working Paper: Inflation Risk Analysis of European Real Estate Securities (2002)
Working Paper: Inflation Risk Analysis of European Real Estate Securities (2000)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:jre:issued:v:24:n:1:2002:p:47-78

Ordering information: This journal article can be ordered from
Diane Quarles American Real Estate Society Manager of Member Services Clemson University Box 341323 Clemson, SC 29634-1323
http://aux.zicklin.b ... u/jrer/about/get.htm

Access Statistics for this article

Journal of Real Estate Research is edited by Dr. Ko Wang

More articles in Journal of Real Estate Research from American Real Estate Society
Address: American Real Estate Society Clemson University School of Business & Behavioral Science Department of Finance 401 Sirrine Hall Clemson, SC 29634-1323
Series data maintained by JRER Graduate Assistant/Webmaster ().