Authors: Raimond Mauer and Steffen P. Sebastian

Start Page: 47
End Page: 78
Volume: 24
Issue Number: 01
Year: 2002
Publication: Journal of Real Estate Research

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.