Do European real estate stocks hedge inflation? Evidence from developed and emerging markets

Chyi Lin Lee and Ming-Long Lee

ERES from European Real Estate Society (ERES)

Abstract: This study examines the inflation hedging properties of real estate stocks in developed and emerging European markets over 1990 to 2011. A dynamics ordinary least squares (DOLS) regression is employed to study the long-run inflation properties of European real estate stocks. The preliminary results show that developed real estate stocks provide a positive inflation hedge against expected inflation over the long run, while no similar evidence is found in the emerging markets. The finding suggests that the inflation-hedging properties of real estate stocks are related to institutional involvement in the real estate stock markets. The finding could have profound implications to institutional investors.

JEL-codes: R3 (search for similar items in EconPapers)
Date: 2012-01-01
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Citations: View citations in EconPapers (1)

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