This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Inflation Risk Analysis of European Real Estate Securities

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Raimond Mauer () (Goethe-University Frankfurt/Main, 60054 Frankfurt, Germany)
Steffen P. Sebastian () (Mannheim University, 68131 Mannheim, Germany)

Additional information is available for the following registered author(s):

Abstract

The focus of this paper 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, we employ different regression approaches based on the methodology of Fama/Schwert 1977. Hedging capacities against expected inflation are found only for German open-end funds. Furthermore, 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.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://aux.zicklin.baruch.cuny.edu/jrer/papers/pdf/past/vol24n01/03.47_78.pdf
File Format: application/pdf
File Function: Full text
Download Restriction: no

Publisher Info
Article provided by American Real Estate Society in its journal Journal of Real Estate Research.

Volume (Year): 24 (2002)
Issue (Month): 1 ()
Pages: 47-78
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:jre:issued:v:24:n:1:2002:p:47-78

Contact details of provider:
Postal: American Real Estate Society Clemson University School of Business & Behavioral Science Department of Finance 401 Sirrine Hall Clemson, SC 29634-1323
Email:
Web page: http://www.aresnet.org/

Order Information:
Postal: Diane Quarles American Real Estate Society Manager of Member Services Clemson University Box 341323 Clemson, SC 29634-1323
Email:
Web: http://aux.zicklin.baruch.cuny.edu/jrer/about/get.htm

For technical questions regarding this item, or to correct its listing, contact: (JRER Graduate Assistant/Webmaster).

Related research
Keywords:

Other versions of this item:

Find related papers by JEL classification:
L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Fama, Eugene F. & Schwert, G. William, 1977. "Asset returns and inflation," Journal of Financial Economics, Elsevier, vol. 5(2), pages 115-146, November. [Downloadable!] (restricted)
  2. Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-08, May. [Downloadable!] (restricted)
    Other versions:
  3. Bodie, Zvi, 1976. "Common Stocks as a Hedge against Inflation," Journal of Finance, American Finance Association, vol. 31(2), pages 459-70, May. [Downloadable!] (restricted)
  4. Chen, Nai-Fu & Roll, Richard & Ross, Stephen A, 1986. "Economic Forces and the Stock Market," Journal of Business, University of Chicago Press, vol. 59(3), pages 383-403, July. [Downloadable!] (restricted)
  5. Richard Barkham & David Geltner, 1995. "Price Discovery in American and British Property Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 23(1), pages 21-44. [Downloadable!] (restricted)
  6. Hoag, James W, 1980. " Towards Indices of Real Estate Value and Return," Journal of Finance, American Finance Association, vol. 35(2), pages 569-80, May. [Downloadable!] (restricted)
  7. Albrecht, Peter & Maurer, Raimond, 2000. "100% Aktien zur Altersvorsorge - Über die Langfristrisiken einer Aktienanlage," Sonderforschungsbereich 504 Publications 00-05, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim.
  8. Kahneman, Daniel & Tversky, Amos, 1979. "Prospect Theory: An Analysis of Decision under Risk," Econometrica, Econometric Society, vol. 47(2), pages 263-91, March. [Downloadable!] (restricted)
  9. Maurer, Raimond & Sebastian, Steffen, 1998. "Immobilienfonds und Immobilienaktiengesellschaften als finanzwirtschaftliche Substitute für Immobiliendirektanlagen," Sonderforschungsbereich 504 Publications 98-55, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim.
  10. Albrecht, Peter & Maurer, Raimond & Möller, Matthias, 1997. "Shortfall-Risiko/Excess-Chance-Entscheidungskalküle: Grundlagen und Beziehungen zum Bernoulli-Prinzip," Sonderforschungsbereich 504 Publications 97-17, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim.
  11. Mao, James C T, 1970. "Survey of Capital Budgeting: Theory and Practice," Journal of Finance, American Finance Association, vol. 25(2), pages 349-60, May. [Downloadable!] (restricted)
  12. Crocker H. Liu & David J. Hartzell & Martin E. Hoesli, 1997. "International Evidence on Real Estate Securities as an Inflation Hedge," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 25(2), pages 193-221. [Downloadable!] (restricted)
Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Raimond Maurer, 2003. "Institutional Investors in Germany: Insurance Companies and Investment Funds," CFS Working Paper Series 2003/14, Center for Financial Studies. [Downloadable!]
  2. Raimond Maurer & Frank Reiner & Ralph Rogalla, 2004. "Return and Risk of German Open-End Real Estate Funds," Working Paper Series: Finance and Accounting 114, Department of Finance, Goethe University Frankfurt am Main. [Downloadable!]
  3. Christina E. Bannier & Falko Fecht & Marcel Tyrell, 2008. "Open-End Real Estate Funds in Germany - Genesis and Crisis," Working Paper Series: Finance and Accounting 165, Department of Finance, Goethe University Frankfurt am Main. [Downloadable!]
    Other versions:
Statistics
Access and download statistics

Did you know? You too can volunteer with RePEc.

This page was last updated on 2009-11-6.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.