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
file. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Volume (Year): 24 (2002) Issue (Month): 1 () Pages: 47-78 Download reference. The following formats are available: HTML,
plain text,
BibTeX,
RIS (EndNote),
ReDIF
Handle: RePEc:jre:issued:v:24:n:1:2002:p:47-78
Contact details of provider: Postal: American Real Estate Society College of Business & Public Administration Florida Atlantic University MacArthur Campus, 5353 Parkside Drive Jupiter FL 33458 Email: Web page: http://www.aresnet.org/
Order Information: Postal: Donna Cooper American Real Estate Society College of Business & Public Administration Florida Atlantic University MacArthur Campus, 5353 Parkside Drive Jupiter FL 33458 Email: Web: http://cbeweb-1.fullerton.edu/finance/journal/about/get.htm
For technical questions regarding this item, or to correct its listing, contact: (JRER Graduate Assistant/Webmaster).
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.:
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.)