Inflation Risk Analysis of European Real Estate Securities

31 Pages Posted: 12 Dec 2008

See all articles by Steffen P. Sebastian

Steffen P. Sebastian

University of Regensburg - International Real Estate Business School (IREBS)

Raimond Maurer

Goethe University Frankfurt - Finance Department

Date Written: 2002

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.

Suggested Citation

Sebastian, Steffen P. and Maurer, Raimond, Inflation Risk Analysis of European Real Estate Securities (2002). Journal of Real Estate Research, Vol. 24, No. 1, 2002, Available at SSRN: https://ssrn.com/abstract=1310867

Steffen P. Sebastian (Contact Author)

University of Regensburg - International Real Estate Business School (IREBS) ( email )

Universitaetsstrasse 31
Regenburg, Bavaria 93040
Germany
+49(941)943-5081 (Phone)
+49(941)943-5082 (Fax)

HOME PAGE: http://www.irebs.de

Raimond Maurer

Goethe University Frankfurt - Finance Department ( email )

Theodor-W.-Adorno-Platz 3
House of Finance
Frankfurt, 60323
Germany

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