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International Evidence on Real Estate Securities as an Inflation Hedge

Author

Listed:
  • Crocker H. Liu
  • David J. Hartzell
  • Martin E. Hoesli

Abstract

The current study investigates whether real estate securities continue to act as a perverse inflation hedge in foreign countries given security design differences. Both a stationary and a nonstationary risk free rate are alternatively used in conjunction with the methodology of Fama and Schwert (1977) and also the methodology of Geske and Roll (1983) to investigate this question. Real estate securities provide a worse hedge against inflation relative to common stocks in some countries and are comparable to stocks in other countries. Also, evidence supports the reverse causality model of Geske‐Roll.

Suggested Citation

  • 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, June.
    • Handle: RePEc:bla:reesec:v:25:y:1997:i:2:p:193-221
    DOI: 10.1111/1540-6229.00712
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    References listed on IDEAS

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    1. Gultekin, N Bulent, 1983. "Stock Market Returns and Inflation Forecasts," Journal of Finance, American Finance Association, vol. 38(3), pages 663-673, June.
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    More about this item

    JEL classification:

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

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