Inflation Risk Analysis of European Real Estate Securities
AbstractThe focus of this article 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, different regression approaches are employed based on the methodology of Fama and Schwert (1977). Hedging capacities against expected inflation are found only for German open-end funds. Secondly, 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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Bibliographic InfoPaper provided by Department of Finance, Goethe University Frankfurt am Main in its series Working Paper Series: Finance and Accounting with number 51.
Date of creation: 2002
Date of revision:
Other versions of this item:
- Raimond Mauer & Steffen P. Sebastian, 2002. "Inflation Risk Analysis of European Real Estate Securities," Journal of Real Estate Research, American Real Estate Society, vol. 24(1), pages 47-78.
- Maurer, Raimond & Sebastian, Steffen, 2000. "Inflation Risk Analysis of European Real Estate Securities," Sonderforschungsbereich 504 Publications 00-07, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim.
- L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services
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- Maurer, Raimond H., 2003. "Institutional investors in Germany: Insurance companies and investment funds," CFS Working Paper Series 2003/14, Center for Financial Studies (CFS).
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