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Inflation Risk Analysis of European Real Estate Securities

  • Maurer, Raimond


    (Lehrstuhl fuer Investment, Portfolio Management und Alterssicherung)

  • Sebastian, Steffen


    (Lehrstuhl für ABWL, Risikotheorie, Portfolio Management und Versicherungswirtschaft)

Real estate is an important asset, but as direct investment linked with several difficulties. Shares of public open end funds or of real estate stock corporations represent a possible way for an investor to avoid these problems. The focus of this paper is the inflation risks of European real estate securities. An overview for institutional frameworks regarding these companies is given. The returns from securitised real estate in France, Germany, Switzerland and the United Kingdom are examined for the period 1980:1-1998:12. Besides the classical Fama/Schwert-approach, shortfall risk measurements have been used. In this context, transaction costs in particular have been taken into account.

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Paper provided by Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim in its series Sonderforschungsbereich 504 Publications with number 00-07.

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Length: 30 pages
Date of creation: 06 Apr 2000
Date of revision:
Handle: RePEc:xrs:sfbmaa:00-07
Note: Financial support from the Deutsche Forschungsgemeinschaft, SFB 504, at the University of Mannheim, is gratefully acknowledged.
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