Faculty of Economics and Business Administration Publications Database

Inflation Risk Analysis of European Real Estate Securities

Sebastian, Steffen
Volume: 24
Number: 1
Pages: 47 - 77
Month: July/August
ISSN-Print: 0896-5803
Link External Source: Online Version
Year: 2002
Keywords: inflation; real property; securities; investments, finance; regression analysis
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.