Economics at your fingertips  

The Short-Term Inflation-Hedging Characteristics of U.K. Real Estate

Martin Hoesli, Bryan D. MacGregor, George Matysiak and Nanda Nanthakumaran

The Journal of Real Estate Finance and Economics, 1997, vol. 15, issue 1, 27-57

Abstract: This study investigates the short-term inflation-hedging characteristics of U.K. real estate compared to other U.K. investments. It considers not only total returns but also changes in income and changes in capital values. The analyses are undertaken using annual and quarterly data. Stocks, bonds, appraisal-based real estate (including the three property types, separately), and real estate stocks are considered. Real estate series, constructed from the original appraisal series to take account of autocorrelation, also are used. The methodology is based on that devised by Fama and Schwert (1977) and tests are undertaken for stationarity and structural breaks. Hypotheses are established about the coefficients on expected and unexpected inflation in the model, and these are tested. It is concluded that real estate has poorer short-term hedging characteristics for total return, change in capital value, and change in income than stocks but better characteristics than bonds. However, there is evidence to suggest that the relationships change under different economic environments. Coauthors are Bryan D. MacGregor, George Matysiak, and Nanda Nanthakumaran. Copyright 1997 by Kluwer Academic Publishers

Date: 1997
References: Add references at CitEc
Citations: View citations in EconPapers (12) Track citations by RSS feed

Downloads: (external link) link to full text (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: The Short Term Inflation Hedging Characteristics of UK Real Estate (1996)
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:

Ordering information: This journal article can be ordered from
http://www.springer. ... ce/journal/11146/PS2

Access Statistics for this article

The Journal of Real Estate Finance and Economics is currently edited by Steven R. Grenadier, James B. Kau and C.F. Sirmans

More articles in The Journal of Real Estate Finance and Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().

Page updated 2021-01-02
Handle: RePEc:kap:jrefec:v:15:y:1997:i:1:p:27-57