Inflation Risk Analysis of European Real Estate Securities

Raimond Maurer () and Steffen Sebastian ()

No 51, Working Paper Series: Finance and Accounting from Department of Finance, Goethe University Frankfurt am Main

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
New Economics Papers: this item is included in nep-eec
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.finance.uni-frankfurt.de/wp/582.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found

Related works:
Journal Article: 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)
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: https://EconPapers.repec.org/RePEc:fra:franaf:51

Access Statistics for this paper

More papers in Working Paper Series: Finance and Accounting from Department of Finance, Goethe University Frankfurt am Main Senckenberganlage 31, 60054 Frankfurt. Contact information at EDIRC.
Bibliographic data for series maintained by Reinhard H. Schmidt ().