Inflation Risk Analysis of European Real Estate Securities

DOI to cite this document:: 10.5283/epub.5124

Maurer, Raimond ; Sebastian, Steffen P.

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Date of publication of this fulltext: 05 Aug 2009 13:49

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Item type:	Article
Journal or Publication Title:	Journal of Real Estate Research
Publisher:	ARES
Volume:	24
Number of Issue or Book Chapter:	1
Page Range:	pp. 47-77
Date:	2002
Institutions:	Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Immobilienfinanzierung (Prof. Dr. Steffen Sebastian) Business, Economics and Information Systems > Institut für Immobilienenwirtschaft / IRE\|BS > Lehrstuhl für Immobilienfinanzierung (Prof. Dr. Steffen Sebastian)
Interdisciplinary Subject Network:	Immobilien- und Kapitalmärkte
Dewey Decimal Classification:	300 Social sciences > 330 Economics
Status:	Published
Refereed:	Yes, this version has been refereed
Created at the University of Regensburg:	Unknown
Item ID:	5124

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Abstract

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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