Inflation Risk Analysis of European Real Estate Securities

Raimond Maurer and Steffen Sebastian

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

Abstract: The focus of this article 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, different regression approaches are employed based on the methodology of Fama and Schwert (1977). Hedging capacities against expected inflation are found only for German open-end funds. Secondly, 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.

Date: 2002
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DOI: 10.1080/10835547.2002.12091089

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