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Inflation Risk Analysis of European Real Estate Securities

Author

Listed:
  • Raimond Mauer

    (Goethe-University Frankfurt/Main, 60054 Frankfurt, Germany)

  • Steffen P. Sebastian

    (Mannheim University, 68131 Mannheim, Germany)

Abstract

The focus of this paper 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, we employ different regression approaches based on the methodology of Fama/Schwert 1977. Hedging capacities against expected inflation are found only for German open-end funds. Furthermore, 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.

Suggested Citation

  • 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.
    • Handle: RePEc:jre:issued:v:24:n:1:2002:p:47-78
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    Citations

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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. Benedikt Fleischmann & Carsten Fritz & Steffen Sebastian, 2019. "Real Estate, Stocks, and Bonds as a Deflation Hedge," International Real Estate Review, Global Social Science Institute, vol. 22(1), pages 1-26.
    3. Bienert, Sven & Sebastian, Steffen P. & Just, Tobias, . "Niedrigzinsumfeld und die Auswirkungen auf die Immobilienwirtschaft," Beiträge zur Immobilienwirtschaft, University of Regensburg, Department of Economics, number 8, August.
    4. 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.
    5. Ming-Te Lee & Ming-Long Lee & Fav-Tsoin Lai & Tung-Hsiao Yang, 2011. "International Articles: Do Real Estate Stocks Hedge Inflation In The Long Run? Evidence From Three East Asian Emerging Markets," Journal of Real Estate Literature, Taylor & Francis Journals, vol. 19(2), pages 345-372, January.
    6. Silviu-Gabriel BACIU, 2025. "Managing Inflation and its Effects on the Economy," Management and Economics Review, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, vol. 10(3), pages 662-671, November.
    7. Maurer, Raimond H., 2003. "Institutional investors in Germany: Insurance companies and investment funds," CFS Working Paper Series 2003/14, Center for Financial Studies (CFS).
    8. Carsten Lausberg & Felix Brandt, 2024. "Forecasting risk and return of listed real estate: [Die Prognose von Risiko und Rendite von Immobilienaktien:]," Zeitschrift für Immobilienökonomie (German Journal of Real Estate Research), Springer;Gesellschaft für Immobilienwirtschaftliche Forschung e. V., vol. 10(1), pages 1-38, December.
    9. Westerheide, Peter, 2006. "Cointegration of real estate stocks and REITs with common stocks, bonds and consumer price inflation: an international comparison," ZEW Discussion Papers 06-057, ZEW - Leibniz Centre for European Economic Research.

    More about this item

    JEL classification:

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

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