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A Re-Examination of the Inflation-Hedging Ability of Real Estate Securities: Empirical Tests Using International Orthogonalized & Hedged Data

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Abstract

This study re-examines the relationship between real estate securities and inflation in a total of ten international markets. In addition to the raw data, both the orthogonalized and hedged approaches were adopted in order to strip out the general impact of the domestic equity market. The results revealed that there is minimal evidence of a positive relationship between real estate securities and inflation, which is in line with existing empirical evidence. However, the strong evidence of perverse relationship, noted in previous studies of REITs, is not robust throughout the other nine markets. The hedged and orthogonalized data also provided minimal evidence in favour of a positive relationship, both in the short and long terms.

Suggested Citation

  • Simon Stevenson, 2001. "A Re-Examination of the Inflation-Hedging Ability of Real Estate Securities: Empirical Tests Using International Orthogonalized & Hedged Data," International Real Estate Review, Asian Real Estate Society, vol. 4(1), pages 26-42.
  • Handle: RePEc:ire:issued:v:04:n:01:2001:p:26-42
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    Cited by:

    1. 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).
    2. Chyi Lin Lee & Ming-Long Lee, 2014. "Do European real estate stocks hedge inflation? Evidence from developed and emerging markets," International Journal of Strategic Property Management, Taylor & Francis Journals, vol. 18(2), pages 178-197, June.

    More about this item

    Keywords

    Inflation hedging; International real estate; real estate securities;

    JEL classification:

    • L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services

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