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The Inflation Hedging Characteristics of US and UK Investments: A Multi-Factor Error Correction Approach

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Author Info
Martin Hoesli ()
Colin Lizieri ()
Bryan MacGregor ()

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Abstract

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File URL: http://hdl.handle.net/10.1007/s11146-007-9062-6
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Publisher Info
Article provided by Springer in its journal The Journal of Real Estate Finance and Economics.

Volume (Year): 36 (2008)
Issue (Month): 2 (February)
Pages: 183-206
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Handle: RePEc:kap:jrefec:v:36:y:2008:i:2:p:183-206

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Web page: http://www.springerlink.com/link.asp?id=102945

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Related research
Keywords: Investment returns; Real estate; Inflation hedging; Error correction model;

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  1. Tsong-Yue Lai & Ko Wang, 1998. "Appraisal Smoothing: The Other Side of the Story," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 26(3), pages 511-535. [Downloadable!] (restricted)
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  3. 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)
  4. Boudoukh, Jacob & Richardson, Matthew & Whitelaw, Robert F, 1994. " Industry Returns and the Fisher Effect," Journal of Finance, American Finance Association, vol. 49(5), pages 1595-1615, December. [Downloadable!] (restricted)
  5. Hoesli, Martin, et al, 1997. "The Short-Term Inflation-Hedging Characteristics of U.K. Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 15(1), pages 27-57, July. [Downloadable!] (restricted)
  6. 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)
  7. Kaul, Gautam, 1990. "Monetary Regimes and the Relation between Stock Returns and Inflationary Expectations," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(03), pages 307-321, September. [Downloadable!]
  8. Cochran, Steven J & Defina, Robert H, 1993. "Inflation's Negative Effects on Real Stock Prices: New Evidence and a Test of the Proxy Effect Hypothesis," Applied Economics, Taylor and Francis Journals, vol. 25(2), pages 263-74, February.
  9. Ling, David C & Naranjo, Andy, 1997. "Economic Risk Factors and Commercial Real Estate Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 14(3), pages 283-307, May. [Downloadable!] (restricted)
  10. Danthine, Jean-Pierre & Donaldson, John B, 1986. "Inflation and Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 54(3), pages 585-605, May. [Downloadable!] (restricted)
  11. Kaul, Gautam & Seyhun, H Nejat, 1990. " Relative Price Variability, Real Shocks, and the Stock Market," Journal of Finance, American Finance Association, vol. 45(2), pages 479-96, June. [Downloadable!] (restricted)
  12. W. B. Brueggeman & A. H. Chen & T. G. Thihodeau, 1984. "Real Estate Investment Funds: Performance and Portfolio Considerations," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 12(3), pages 333-354. [Downloadable!] (restricted)
  13. Nelson, Charles R, 1976. "Inflation and Rates of Return on Common Stocks," Journal of Finance, American Finance Association, vol. 31(2), pages 471-83, May. [Downloadable!] (restricted)
  14. Charles H. Wurtzebach & Glenn R. Mueller & Donna Machi, 1991. "The Impact of Inflation and Vacancy on Real Estate Returns," Journal of Real Estate Research, American Real Estate Society, vol. 6(2), pages 153-168. [Downloadable!]
  15. Marshall, David A, 1992. " Inflation and Asset Returns in a Monetary Economy," Journal of Finance, American Finance Association, vol. 47(4), pages 1315-42, September. [Downloadable!] (restricted)
  16. K. C. Chan & Patric H. Hendershott & Anthony B. Sanders, 1990. "Risk and Return on Real Estate: Evidence from Equity REITs," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 18(4), pages 431-452. [Downloadable!] (restricted)
  17. Hess, Patrick J & Lee, Bong-Soo, 1999. "Stock Returns and Inflation with Supply and Demand Disturbances," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 12(5), pages 1203-18.
  18. VanderHoff, James & VanderHoff, Mary, 1986. "Inflation and stock returns: An industry analysis," Journal of Economics and Business, Elsevier, vol. 38(4), pages 341-352, December. [Downloadable!] (restricted)
  19. Patric H. Hendershott & Bryan D. MacGregor, 2005. "Investor Rationality: An Analysis of NCREIF Commercial Property Data," Journal of Real Estate Research, American Real Estate Society, vol. 27(4), pages 445-475. [Downloadable!]
  20. David C. Ling & Andy Naranjo, 1999. "The Integration of Commercial Real Estate Markets and Stock Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 27(3), pages 483-515. [Downloadable!] (restricted)
  21. Paul H. Goebel & Kee S. Kim, 1989. "Performance Evaluation of Finite-Life Real Estate Investment Trusts," Journal of Real Estate Research, American Real Estate Society, vol. 4(2), pages 57-70. [Downloadable!]
  22. Glascock, John L & Lu, Chiuling & So, Raymond W, 2002. "REIT Returns and Inflation: Perverse or Reverse Causality Effects?," The Journal of Real Estate Finance and Economics, Springer, vol. 24(3), pages 301-17, May. [Downloadable!] (restricted)
  23. Lintner, John, 1975. "Inflation and Security Returns," Journal of Finance, American Finance Association, vol. 30(2), pages 259-80, May. [Downloadable!] (restricted)
  24. K.C. Chan & Patric H. Hendershott & Anthony B. Sanders, 1991. "Risk and Return on Real Estate: Evidence from Equity REITs," NBER Working Papers 3311, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  25. Balduzzi, Pierluigi, 1995. "Stock returns, inflation, and the 'proxy hypothesis': A new look at the data," Economics Letters, Elsevier, vol. 48(1), pages 47-53, April. [Downloadable!] (restricted)
  26. Schwert, G William, 1981. "The Adjustment of Stock Prices to Information about Inflation," Journal of Finance, American Finance Association, vol. 36(1), pages 15-29, March. [Downloadable!] (restricted)
  27. David Hartzell & John S. Hekman & Mike E. Miles, 1987. "Real Estate Returns and Inflation," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 15(1), pages 617-637. [Downloadable!] (restricted)
  28. K.C. Chen & Daniel D. Tzang, 1988. "Interest-Rate Sensitivity of Real Estate Investment Trusts," Journal of Real Estate Research, American Real Estate Society, vol. 3(3), pages 13-22. [Downloadable!]
  29. Mike Miles & Tom Mc Cue, 1982. "Historic Returns and Institutional Real Estate Portfolios," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 10(2), pages 184-199. [Downloadable!] (restricted)
  30. 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)
  31. Firth, Michael, 1979. "The Relationship between Stock Market Returns and Rates of Inflation," Journal of Finance, American Finance Association, vol. 34(3), pages 743-49, June. [Downloadable!] (restricted)
  32. Jaffe, Jeffrey F & Mandelker, Gershon, 1976. "The "Fisher Effect" for Risky Assets: An Empirical Investigation," Journal of Finance, American Finance Association, vol. 31(2), pages 447-58, May. [Downloadable!] (restricted)
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