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Do European real estate stocks hedge inflation? Evidence from developed and emerging markets

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  • Chyi Lin Lee
  • Ming-Long Lee

Abstract

This study examines the inflation hedging properties of real estate stocks in developed and emerging European markets over 1990 to 2011. A dynamics ordinary least squares (DOLS) regression is employed to study the long-run inflation properties of European real estate stocks. The preliminary results show that developed real estate stocks provide a positive inflation hedge against expected inflation over the long run, while no similar evidence is found in the emerging markets. The finding suggests that the inflation-hedging properties of real estate stocks are related to institutional involvement in the real estate stock markets. The finding could have profound implications to institutional investors.

Suggested Citation

  • Chyi Lin Lee & Ming-Long Lee, 2012. "Do European real estate stocks hedge inflation? Evidence from developed and emerging markets," ERES eres2012_155, European Real Estate Society (ERES).
    • Handle: RePEc:arz:wpaper:eres2012_155
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    File URL: https://eres.architexturez.net/doc/oai-eres-id-eres2012-155
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    1. Daniel Wurstbauer & Wolfgang Schäfers, 2015. "Inflation hedging and protection characteristics of infrastructure and real estate assets," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 33(1), pages 19-44, February.

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    JEL classification:

    • R3 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location

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