Listed Real Estate as an Inflation Hedge Across Regimes

Muckenhaupt, Jan; Hoesli, Martin; Zhu, Bing

doi:10.1007/s11146-023-09964-x

Cited by 4 publications

(1 citation statement)

References 56 publications

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“…6. For example, Glascock et al (2002), Hoesli et al (2008), Muckenhaupt et al (2023). For a contrary view, Amenc et al (2009).…”

Section: Notesmentioning

confidence: 99%

Real Estate Insights Individuals, beliefs and decision-making in commercial real estate markets: some reflections from the past

Lizieri

2024

JPIF

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PurposeThe aim of this Real Estate Insight is to comment upon commercial real estate research. Much of the current research on commercial real estate sits in academic silos, constrained by disciplinary boundaries and rejecting insights from other areas. This can lead to an impoverished understanding of the processes and practices that drive market behaviour.Design/methodology/approachThis Real Estate Insight, through the lens of history, draws on insights from a century earlier and, in particular, from the work of Frank Ramsey; the paper argues that market behaviour is shaped by the role of key actors and persistent beliefs which need to be accounted for in our models of market practice.FindingsThe paper argues that current research paradigms need to accommodate agency explicitly into existing models and that real estate research will benefit immensely if researcher were more open in seeking ideas from outside the real estate field and to be more open to external ideas and concepts.Practical implicationsThe paper suggests that property research needs to be more embracing of other academic disciplines to develop a full understanding of the numerous and various drivers within commercial real estate markets.Originality/valueThis is a review of how beliefs impact upon commercial real estate markets. As with many things, history can help researchers today get a broader and more appropriate perspective on market drivers and how they affect decision-making.

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“…6. For example, Glascock et al (2002), Hoesli et al (2008), Muckenhaupt et al (2023). For a contrary view, Amenc et al (2009).…”

Section: Notesmentioning

confidence: 99%

Real Estate Insights Individuals, beliefs and decision-making in commercial real estate markets: some reflections from the past

Lizieri

2024

JPIF

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Is gold an inflation hedge in Vietnam? A non-linear approach

Do,

Tran,

Nguyen

et al. 2023

Cogent Economics & Finance

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Forecasting risk and return of listed real estate:

Lausberg,

Brandt

2024

Z Immobilienökonomie

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In this paper a forecasting model for real estate stock returns and risks is developed and tested with the data of German real estate companies from 1991 to 2021. In contrast to several other studies, alternative risk measures are used to adequately reflect investors’ preferences. At first, the paper constructs a traditional five-factor Arbitrage Pricing Theory model to measure the sensitivity of real estate stock returns to the stock, bond and real estate markets as well as to inflation and the overall economy. The analysis shows that German real estate stocks have a high idiosyncratic risk and that they are more impacted by changes in the economy and the stock market than by changes in the real estate market. Then a geometric Brownian motion concept combined with a Monte Carlo simulation is applied to model future asset prices. The downside risk measures value at risk and conditional value at risk are used to quantify the risk for an investor in listed real estate instead of the usual volatility. The paper finds that listed real estate has less downside risk than general stocks.

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Listed Real Estate as an Inflation Hedge Across Regimes

Cited by 4 publications

References 56 publications

Real Estate Insights Individuals, beliefs and decision-making in commercial real estate markets: some reflections from the past

Real Estate Insights Individuals, beliefs and decision-making in commercial real estate markets: some reflections from the past

Is gold an inflation hedge in Vietnam? A non-linear approach

Forecasting risk and return of listed real estate:

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