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A Re-Examination of the Inflation-Hedging Ability of Real Estate Securities: Empirical Tests Using International Orthogonalized & Hedged Data

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    Abstract

    This study re-examines the relationship between real estate securities and inflation in a total of ten international markets. In addition to the raw data, both the orthogonalized and hedged approaches were adopted in order to strip out the general impact of the domestic equity market. The results revealed that there is minimal evidence of a positive relationship between real estate securities and inflation, which is in line with existing empirical evidence. However, the strong evidence of perverse relationship, noted in previous studies of REITs, is not robust throughout the other nine markets. The hedged and orthogonalized data also provided minimal evidence in favour of a positive relationship, both in the short and long terms.

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    File URL: http://www.umac.mo/fba/irer/papers/past/vol4_pdf/026-042International1.pdf
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    Bibliographic Info

    Article provided by Asian Real Estate Society in its journal International Real Estate Review.

    Volume (Year): 4 (2001)
    Issue (Month): 1 ()
    Pages: 26-42

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    Handle: RePEc:ire:issued:v:04:n:01:2001:p:26-42

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    Postal: Asia Real Estate Society, 51 Monroe Street, Plaza E-6, Rockville, MD 20850, USA
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    Web page: http://www.asres.org/

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    Postal: Asian Real Estate Society, 51 Monroe Street, Plaza E-6, Rockville, MD 20850, USA
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    Web: http://www.asres.org/

    Related research

    Keywords: Inflation hedging; International real estate; real estate securities;

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