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Inflation Risk Analysis of European Real Estate Securities

DOI to cite this document:
Maurer, Raimond ; Sebastian, Steffen P.
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Date of publication of this fulltext: 05 Aug 2009 13:49


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 ...


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