Do European real estate stocks hedge inflation? Evidence from developed and emerging markets

Chyi Lin Lee, Ming-Long Lee

    Research output: Contribution to journalArticlepeer-review

    25 Citations (Scopus)

    Abstract

    This study examines the inflation-hedging properties of European real estate stocks in developed and emerging markets over 1990 to 2011. The Fama and Schwert model and a dynamic ordinary least squares (DOLS) regression were employed to study the inflation-hedging characteristics of European real estate stocks over the short run and long run. The empirical results show little inflationhedging ability of European real estate stocks over the short run. Over the long run, developed real estate stocks provide a positive inflation hedge against expected inflation, while no similar evidence is found in the emerging markets. The findings suggest that the inflation-hedging properties of real estate stocks are related to the institutional involvement in the real estate stock markets. The finding could have profound implications to institutional investors.
    Original languageEnglish
    Pages (from-to)178-197
    Number of pages20
    JournalInternational Journal of Strategic Property Management
    Volume18
    Issue number2
    DOIs
    Publication statusPublished - 2014

    Fingerprint

    Dive into the research topics of 'Do European real estate stocks hedge inflation? Evidence from developed and emerging markets'. Together they form a unique fingerprint.

    Cite this