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.

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Metadaten
Author:Raimond MaurerGND, Steffen P. Sebastian
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:Universit├Ątsbibliothek 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-Universit├Ąt 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):License LogoDeutsches Urheberrecht