Inflation risk analysis of European real estate securities
- 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.
Author: | Raimond MaurerORCiDGND, Steffen SebastianGND |
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URN: | urn:nbn:de:hebis:30-18524 |
Parent Title (English): | Journal of Real Estate Research |
Document Type: | Article |
Language: | English |
Year of Completion: | 2002 |
Year of first Publication: | 2002 |
Publishing Institution: | Universitätsbibliothek Johann Christian Senckenberg |
Release Date: | 2005/10/11 |
Volume: | 24 |
Issue: | 1 |
First Page: | 47 |
Last Page: | 77 |
Source: | Auch Working paper series / Johann-Wolfgang-Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften : Finance & Accounting ; 51 , erschienen in: Journal of Real Estate Research 24, 2002, S. 47-77. |
HeBIS-PPN: | 202685144 |
Institutes: | Wirtschaftswissenschaften / Wirtschaftswissenschaften |
Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
Licence (German): | ![]() |