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Paper eres2009_304:
The Inflation-Hedging Properties of Real Estate

id eres2009_304
authors Voigtländer, Michael
year 2009
title The Inflation-Hedging Properties of Real Estate
source 16th Annual European Real Estate Society Conference in Stockholm, Sweden
summary Using panel data augmented Fama-Schwert regressions this study analyses the inflation hedging properties of different types of real estate assets. The results reveal that real estate equities like other equities, too, do not provide any hedge against inflation. Moreover, the correlation is negative, indicating that increasing prices have a negative impact on real estate returns. One explanation for this finding is, that investors adjust their expectations when overall business activity weakens in response to increasing inflation. Direct investments in real estate show a more differentiated picture. While retail real estate does not provide a hedge against inflation, office as well as residential real estate returns rise with inflation. In particular, residential real estate is characterized by quite robust inflation hedging properties probably due to the low substitutability of dwellings."
keywords Inflation, Real Estate Returns, Fama-Schwert-Regression, Panel Data
series ERES:conference
content file.ppt (458,240 bytes)
discussion No discussions. Post discussion ...
session Investment and Finance
last changed 2009/09/16 16:22
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