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Inflation Risk Analysis of European Real Estate Securities

Author

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  • Maurer, Raimond

    () (Lehrstuhl fuer Investment, Portfolio Management und Alterssicherung)

  • Sebastian, Steffen

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

Abstract

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.

Suggested Citation

  • 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.
  • 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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    References listed on IDEAS

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    1. Maurer, Raimond & Sebastian, Steffen, 1998. "Immobilienfonds und Immobilienaktiengesellschaften als finanzwirtschaftliche Substitute für Immobiliendirektanlagen," Sonderforschungsbereich 504 Publications 98-55, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
    2. Hoesli, M & MacGregor, B, 1997. "Inflation Hedging Versus Inflation Protection in the US and the UK," Papers 97.09, Ecole des Hautes Etudes Commerciales, Universite de Geneve-.
    3. Johnson, Glenn L. & Reilly, Frank K. & Smith, Ralph E., 1971. "Individual Common Stocks as Inflation Hedges," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 6(03), pages 1015-1024, June.
    4. Kahneman, Daniel & Tversky, Amos, 1979. "Prospect Theory: An Analysis of Decision under Risk," Econometrica, Econometric Society, vol. 47(2), pages 263-291, March.
    5. Robert L. Winkler & Gary M. Roodman & Robert R. Britney, 1972. "The Determination of Partial Moments," Management Science, INFORMS, vol. 19(3), pages 290-296, November.
    6. Hoesli, Martin & MacGregor, Bryan D. & Matysiak, George & Nanthakumaran, Nanda, 1997. "The Short-Term Inflation-Hedging Characteristics of U.K. Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 15(1), pages 27-57, July.
    7. Albrecht, Peter & Maurer, Raimond & Möller, Matthias, 1997. "Shortfall-Risiko/Excess-Chance-Entscheidungskalküle: Grundlagen und Beziehungen zum Bernoulli-Prinzip," Sonderforschungsbereich 504 Publications 97-17, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
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    9. Albrecht, Peter & Maurer, Raimond, 2000. "100% Aktien zur Altersvorsorge - Über die Langfristrisiken einer Aktienanlage," Sonderforschungsbereich 504 Publications 00-05, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
    10. 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.
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    14. Fama, Eugene F. & Gibbons, Michael R., 1984. "A comparison of inflation forecasts," Journal of Monetary Economics, Elsevier, vol. 13(3), pages 327-348, May.
    15. Chen, Nai-Fu & Roll, Richard & Ross, Stephen A, 1986. "Economic Forces and the Stock Market," The Journal of Business, University of Chicago Press, vol. 59(3), pages 383-403, July.
    16. Hoag, James W, 1980. " Towards Indices of Real Estate Value and Return," Journal of Finance, American Finance Association, vol. 35(2), pages 569-580, May.
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    18. Elizabeth Yobaccio & Jack H. Rubens & David C. Ketcham, 1995. "The Inflation-Hedging Properties of Risk Assets: The Case of REITs," Journal of Real Estate Research, American Real Estate Society, vol. 10(3), pages 279-296.
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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. 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, July.
    3. Maurer, Raimond H., 2003. "Institutional investors in Germany: Insurance companies and investment funds," CFS Working Paper Series 2003/14, Center for Financial Studies (CFS).
    4. 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.
    5. Daniel Wurstbauer & Wolfgang Schäfers, 2015. "Inflation hedging and protection characteristics of infrastructure and real estate assets," Journal of Property Investment & Finance, Emerald Group Publishing, vol. 33(1), pages 19-44, February.
    6. 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 - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.

    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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