Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/24512 
Year of Publication: 
2006
Series/Report no.: 
ZEW Discussion Papers No. 06-057
Publisher: 
Zentrum für Europäische Wirtschaftsforschung (ZEW), Mannheim
Abstract: 
This paper analyses the performance of real estate securities and their relationship to other asset classes as well as to consumer price inflation in an international comparison over the period from 1990 to 2004. The analysis focuses on the long run relationships, applying three different cointegration tests. It covers the US, Canada, Australia, Japan, the Netherlands, Belgium, France and Germany. Results show that real estate securities in most countries had a high performance in nominal and real terms. The average performance over the whole period (1990 – 2004) has been particularly high in capital market oriented countries in the sample (US, Australia), and also in France. Real estate securities have outperformed bond markets on a risk adjusted basis only in the US and in Australia, while an outperformance of stock markets can be observed also in Japan and France. Particularly in the period 2001 to 2004 real estate security market have soared in most countries with the notable exception of Germany. In general, real estate securities seem to represent an asset class distinct from bonds and stocks in most countries. In the long run they seem provide a potential for further diversification of asset portfolios. Additionally, real estate stocks provide a (weak) hedge against consumer price inflation in almost every country.
Subjects: 
REITs
Real Estate Securities
Cointegration
Stock Markets
Bond Markets
Document Type: 
Working Paper

Files in This Item:
File
Size
212.88 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.