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International Evidence on Real Estate Securities as an Inflation Hedge

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  • Crocker H. Liu
  • David J. Hartzell
  • Martin E. Hoesli

Abstract

The current study investigates whether real estate securities continue to act as a perverse inflation hedge in foreign countries given security design differences. Both a stationary and a nonstationary risk free rate are alternatively used in conjunction with the methodology of Fama and Schwert (1977) and also the methodology of Geske and Roll (1983) to investigate this question. Real estate securities provide a worse hedge against inflation relative to common stocks in some countries and are comparable to stocks in other countries. Also, evidence supports the reverse causality model of Geske-Roll. Copyright American Real Estate and Urban Economics Association.

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Bibliographic Info

Article provided by American Real Estate and Urban Economics Association in its journal Real Estate Economics.

Volume (Year): 25 (1997)
Issue (Month): 2 ()
Pages: 193-221

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Handle: RePEc:bla:reesec:v:25:y:1997:i:2:p:193-221

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Cited by:
  1. Bradford Case & William Goetzmann & K. Rouwenhorst, 1999. "Global Real Estate Markets: Cycles And Fundamentals," Yale School of Management Working Papers ysm20, Yale School of Management, revised 01 Jan 2001.
  2. Barry, Christopher B. & Rodriguez, Mauricio, 2004. "Risk and return characteristics of property indices in emerging markets," Emerging Markets Review, Elsevier, vol. 5(2), pages 131-159, June.
  3. Martin Hoesli & Colin Lizieri & Bryan MacGregor, 2006. "The Inflation Hedging Characteristics of US and UK Investments: A Multi-Factor Error Correction Approach," Real Estate & Planning Working Papers rep-wp2006-01, Henley Business School, Reading University.
  4. Tsong-Yue Lai & Hin Man Mak & Ko Wang, 2001. "Asset Pricing Model with Short-Sale Restrictions: The Case of Asian Property Markets," International Real Estate Review, Asian Real Estate Society, vol. 4(1), pages 43-56.
  5. Dimson, Elroy & Spaenjers, Christophe, 2011. "Ex post: The investment performance of collectible stamps," Journal of Financial Economics, Elsevier, vol. 100(2), pages 443-458, May.
  6. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2010. "1/N and Long Run Optimal Portfolios: Results for Mixed Asset Menus," Carlo Alberto Notebooks 190, Collegio Carlo Alberto.
  7. Nejadmalayeri, Ali, 2011. "Wages, inflation, and mortgage design," Journal of Economics and Business, Elsevier, vol. 63(5), pages 503-516, September.
  8. Spaenjers, C., 2011. "Essays in alternative investments," Open Access publications from Tilburg University urn:nbn:nl:ui:12-4944288, Tilburg University.
  9. Wei-han Liu & Zhefang Zhou, 2009. "Inflation-hedging Behavior of a Securitized Real Estate Market," International Real Estate Review, Asian Real Estate Society, vol. 12(3), pages 221-251.
  10. Kuan-Min, Wang & Yuan-Ming, Lee & T.T.Binh, Nguyen, 2008. "Asymmetric Inflation Hedge of Housing Return: A Non-linear Vector Error Correction Approach," International Real Estate Review, Asian Real Estate Society, vol. 11(1), pages 65-82.
  11. Séverine CAUCHIE & Martin HOESLI, 2004. "The Integration of Securitized Real Estate and Financial Assets," FAME Research Paper Series rp111, International Center for Financial Asset Management and Engineering.
  12. Tracey West & Andrew C. Worthington, 2003. "Macroeconomic risk factors in Australian commercial real estate, listed property trust and property sector stock returns: A comparative analysis using GARCH-M," School of Economics and Finance Discussion Papers and Working Papers Series 160, School of Economics and Finance, Queensland University of Technology.

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