English, Article, Journal or magazine article edition: Inflation Risk Analysis of European Real Estate Securities Raimond Maurer; Steffen Sebastian

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Bookmark: http://trove.nla.gov.au/version/1522
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Inflation Risk Analysis of European Real Estate Securities
Author
  • Raimond Maurer
  • Steffen Sebastian
Physical Description
  • preprint
Notes
  • 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.
  • RePEc:fra:franaf:51
Language
  • English
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