Inflation Risk Analysis of European Real Estate Securities

Raimond Mauer () and Steffen Sebastian ()
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Raimond Mauer: Goethe-University Frankfurt/Main, 60054 Frankfurt, Germany

Journal of Real Estate Research, 2002, vol. 24, issue 1, 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
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Related works:
Working Paper: Inflation Risk Analysis of European Real Estate Securities (2002)
Working Paper: Inflation Risk Analysis of European Real Estate Securities (2000)
Working Paper: Inflation risk analysis of European real estate securities (2000)
Working Paper: Inflation Risk Analysis of European Real Estate Securities (2000)
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