Inflation‐hedging properties of indirect real estate investments in Germany

Obereiner, Daniel; Kurzrock, Björn-Martin

doi:10.1108/14635781211223806

Cited by 21 publications

(15 citation statements)

References 44 publications

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“…Therefore, real estate stocks will only show inflation-hedging ability in the long run. More recently, Obereiner and Kurzrock (2012) presented comparable evidence in the German property market. They exhibited that German real estate stocks do provide a hedge against inflation in the long run, although real estate stocks are almost independent from inflation in the short run.…”

Section: Literature Reviewmentioning

confidence: 77%

Do European Real Estate Stocks Hedge Inflation? Evidence From Developed and Emerging Markets

Lee

2014

International Journal of Strategic Property Management

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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.

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Section: Literature Reviewmentioning

confidence: 77%

Do European Real Estate Stocks Hedge Inflation? Evidence From Developed and Emerging Markets

Lee

2014

International Journal of Strategic Property Management

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“…The inflationhedging attributes estate literature studies (Barkham et al, 1996;Stevenson and Murray, 1999;Hoesli et al, 2008;Lee, 2014) amongst others. Following Obereiner and Kurzrock (2012), an ARIMA (0, 1, 1) model was employed to compute the expected inflation. Afterwards, expected inflation was subtracted from actual inflation to give the unexpected inflation.…”

Section: Methodsmentioning

confidence: 99%

A fresh look at the inflation-hedging attributes of residential property investments in emerging markets: evidence from Nigeria

Ekemode

2021

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PurposeThis study reinvestigates the short-run and long-run inflation-hedging attributes of residential property assets in the Nigerian property market, based on variations in property types and location.Design/methodology/approachData used for this study comprised the holding period returns of three residential property types, namely bungalow, block of flats and detached house during 1999–2018. These were obtained from property practitioners in Lagos, Abuja and Port Harcourt, respectively. The inflation values obtained from the National Bureau of Statistics were split into actual, expected and unexpected components. Fama and Schwert’s (1977) ordered least square (OLS) regression was used to assess the short-term inflation hedging efficacy. Afterwards, the long-run link between residential property and inflation was examined using the Johansen and Juselius cointegration test.FindingsThe results showed that despite the variations in hedging behaviour across property types in the three locations, residential property assets significantly provided protection over actual, expected and unexpected inflation in the short run based on the OLS regression analysis. The result of the Johansen and Juselius cointegration test also established a long-term link between the residential property assets and actual inflation. However, mixed results were found on the link between residential property and expected and unexpected inflation, as some of the assets did not effectively hedge these inflation components in the long run.Practical implicationsThe study implied that the differences in property types and geographic locations are crucial in establishing the short-run and long-run inflation-hedging attributes of residential property assets and should be factored into consideration.Originality/valueThe paper complements the existing body of knowledge on the inflation-hedging attributes of residential property in emerging markets by determining the effects of variation in house types and geographic differences on the analysis.

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“…The results for listed real estate coincide with the empirical evidence in the real estate literature. For instance, Chatrath and Liang (1998) and Ganesan and Chiang (1998), Hoesli et al (2008), and more recently Obereiner and Kurzrock (2012), find evidence of a long-term relationship between listed real estate and inflation. This is further supported by Lee and Lee (2012), who also find a long-run relationship between inflation and developed real estate stock markets, whereas the relationship does not hold for emerging markets (see also Lee et al, 2011).…”

Section: Co-integration and Granger Causality Testsmentioning

confidence: 99%

“…In this section, we focus mainly on currently available empirical evidence on the relationship between infrastructure assets and inflation. As there are many studies covering both direct and listed real estate investments and the results are rather diverse, we refer to Hoesli et al (2008), Park and Bang (2012) and Obereiner and Kurzrock (2012) for a current and exhaustive literature review on the inflation-hedging ability of real estate. In general, the results differ mainly according to the data, methodology, market and time horizon.…”

Section: Literature Reviewmentioning

confidence: 99%

“…The empirical results for the real estate assets suggest that there is no short-term inflation-hedging ability, which conforms to the broad majority of empirical literature. Among others, Park et al (1990), Liu et al (1997), Lu and So (2001), Maurer and Sebastian (2002), Adrangi et al (2004) and more recently Obereiner and Kurzrock (2012) find no short-term inflation-hedging ability for securitized real estate assets. Likewise, several more recent studies provide evidence that direct investments in commercial real estate do not, or only poorly hedge inflation, such as Hoesli (1994), Hoesli et al (1997), Stevenson and Murray (1999), Sing and Low (2000), Chu and Sing (2004), or only hedge during periods of high inflation (Le Moigne and Viveiros, 2008).…”

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confidence: 98%

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Inflation hedging and protection characteristics of infrastructure and real estate assets

Wurstbauer

Schäfers

2015

Journal of Property Investment &Amp; Finance

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Purpose – Similar to real estate, infrastructure investments are regarded as providing a good inflation hedge and inflation protection. However, the empirical literature on infrastructure and inflation is scarce. Therefore, the purpose of this paper is to investigate the short- and long-term inflation-hedging characteristics, as well as the inflation protection associated with infrastructure and real estate assets. Design/methodology/approach – Based on a unique data set for direct infrastructure performance, a listed infrastructure index, common direct and listed real estate indices, the authors test for short- and long-term inflation-hedging characteristics of these assets in the USA from 1991-2013. The authors employ the traditional Fama and Schwert (1977) framework, as well as Engle and Granger (1987) co-integration tests. Granger causality tests are further conducted, so as to gain insight into the short-run dynamics. Finally, shortfall risk measures are applied to investigate the inflation protection characteristics of the different assets over increasingly long investment horizons. Findings – The empirical results indicate that in the short run, only direct infrastructure provides a partial hedge against inflation. However, co-integration tests suggest that all series have a long-run co-movement with inflation, implying a long-term hedge. The causality tests reveal reverse unidirectional causality – while real estate asset returns are Granger-caused by inflation, infrastructure asset returns seem to cause inflation. These findings further confirm that both assets represent a distinct asset class. Ultimately, direct infrastructure investments exhibit the most desirable inflation protection characteristics among the set of assets. Research limitations/implications – This study only presents results based on a composite direct infrastructure index, as no sub-indices for sub-sectors are available yet. Practical implications – Investors seeking assets that are sensitive to inflation and mitigate inflation risk should consider direct infrastructure investments in their asset allocation strategy. Originality/value – This is the first study to examine the ability of direct infrastructure to assess inflation risk.

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Inflation‐hedging properties of indirect real estate investments in Germany

Cited by 21 publications

References 44 publications

Do European Real Estate Stocks Hedge Inflation? Evidence From Developed and Emerging Markets

Do European Real Estate Stocks Hedge Inflation? Evidence From Developed and Emerging Markets

A fresh look at the inflation-hedging attributes of residential property investments in emerging markets: evidence from Nigeria

Inflation hedging and protection characteristics of infrastructure and real estate assets

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