DO EUROPEAN REAL ESTATE STOCKS HEDGE INFLATION? EVIDENCE FROM DEVELOPED AND EMERGING MARKETS-Reference-Cited by-同舟云学术

DO EUROPEAN REAL ESTATE STOCKS HEDGE INFLATION? EVIDENCE FROM DEVELOPED AND EMERGING MARKETS

Published:2014-06-20 Issue:2 Volume:18 Page:178-197
ISSN:1648-715X
Container-title:International Journal of Strategic Property Management
language:
Short-container-title:

Author:

Lee Chyi Lin¹,Lee Ming-Long²

Affiliation:

1. University of Western Sydney, School of Business, Locked Bag 1797, Penrith, New South Wales 2751, Australia

2. National Dong Hwa University, Department of Finance, No. 1, Sec. 2, Da Hsueh Rd., Shoufeng, Hualien 97401, Taiwan

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.

Publisher

Vilnius Gediminas Technical University

Subject

Strategy and Management

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