Inflation risk analysis of European real estate securities

  • Real estate is an important asset, but as a direct investment subject to several difficulties. Shares of public open end funds or of real estate stock corporations represent a possible way for an investor to avoid these problems. The focus of this paper is the analysis of inflation risk of European real estate securities. An overview of the institutional frameworks regarding these companies is given. The returns of real estate securities in France, Germany, Switzerland and the United Kingdom are examined for the period 1980:1-1998:12. Besides the classical Fama/Schwert-approach, shortfall risk measurements have been used. In this context, transaction costs in particular have been taken into account.

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Author:Raimond MaurerGND, Steffen Sebastian
Parent Title (German):Universität Frankfurt am Main. Fachbereich Wirtschaftswissenschaften: [Working paper series / Finance and accounting] Working paper series, Finance & Accounting ; No. 51
Series (Serial Number):Working paper series / Johann-Wolfgang-Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften : Finance & Accounting (51)
Publisher:Johann Wolfgang Goethe-Universität, Fachbereich Wirtschaftswissenschaften
Place of publication:Frankfurt am Main
Document Type:Working Paper
Date of Publication (online):2022/05/02
Year of first Publication:2000
Publishing Institution:Universitätsbibliothek Johann Christian Senckenberg
Release Date:2022/05/02
GND Keyword:Frankreich; Deutschland; Großbritannien; Schweiz; Pfandbrief; Immobilienfonds; Portfolio Selection; Portfoliomanagement; Rendite; Inflation; Risiko; Schätzung; Geschichte 1980-1998
Page Number:38
Last Page:31
Institutes:Wirtschaftswissenschaften / Wirtschaftswissenschaften
Dewey Decimal Classification:3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft
Licence (German):License LogoDeutsches Urheberrecht