Real Estate Returns and Inflation

David Hartzell, John S. Hekman and Mike E. Miles

Real Estate Economics, 1987, vol. 15, issue 1, 617-637

Abstract: The ability of assets to protect an investor from purchasing power risk due to inflation has received a good deal of attention in the literature recently. The focus of much of this research has been on the properties of common stocks as inflation hedges. Bodie [1976] finds that the real return on equity is negatively related to both anticipated and unanticipated inflation; a similar result is obtained by Fama and Schwert [1977]. Bernard and Frecka [1983] examine individual common stock returns and find that the majority exhibit this negative relationship. This paper uses similar logic to examine the ability of a well‐diversified portfolio of real estate to hedge against anticipated and unanticipated inflation.

Date: 1987
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