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Inflation Risk Analysis of European Real Estate Securities

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Author Info
Raimond Mauer () (Goethe-University Frankfurt/Main, 60054 Frankfurt, Germany)
Steffen P. Sebastian () (Mannheim University, 68131 Mannheim, Germany)

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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.

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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
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Handle: RePEc:jre:issued:v:24:n:1:2002:p:47-78

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Postal: American Real Estate Society College of Business & Public Administration Florida Atlantic University MacArthur Campus, 5353 Parkside Drive Jupiter FL 33458
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Postal: Donna Cooper American Real Estate Society College of Business & Public Administration Florida Atlantic University MacArthur Campus, 5353 Parkside Drive Jupiter FL 33458
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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. 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)
  6. 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.
  7. 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)
  8. 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.
  9. 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.
  10. 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)
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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 & 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!]
  2. Christina E. Bannier & Falko Fecht & Marcel Tyrell, 2006. "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:
  3. Raimond Maurer, 2003. "Institutional Investors in Germany: Insurance Companies and Investment Funds," CFS Working Paper Series 2003/14, Center for Financial Studies. [Downloadable!]
  4. Raimond Maurer & Frank Reiner, 2001. "International Asset Allocation with Real Estate Securities in a Shortfall-Risk Frame-work: The Viewpoint of German and US Investors," Working Paper Series: Finance and Accounting 82, Department of Finance, Goethe University Frankfurt am Main. [Downloadable!]
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