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Inflation Risk Analysis of European Real Estate Securities

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  • Raimond Maurer
  • Steffen Sebastian

Abstract

The focus of this article 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, different regression approaches are employed based on the methodology of Fama and Schwert (1977). Hedging capacities against expected inflation are found only for German open-end funds. Secondly, 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 Maurer & Steffen Sebastian, 2002. "Inflation Risk Analysis of European Real Estate Securities," Journal of Real Estate Research, Taylor & Francis Journals, vol. 24(1), pages 47-78, January.
    • Handle: RePEc:taf:rjerxx:v:24:y:2002:i:1:p:47-78
    DOI: 10.1080/10835547.2002.12091089
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