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Erscheinungsjahr: 
2023
Quellenangabe: 
[Journal:] The Journal of Real Estate Finance and Economics [ISSN:] 1573-045X [Publisher:] Springer US [Year:] 2023 [Pages:] 1-51
Verlag: 
Springer US
Zusammenfassung: 
Abstract This paper examines the inflation-hedging capability of listed real estate (LRE) companies in the US from 1975 to 2023, and in three other economies—the UK, Japan, and Australia—from 1990 to 2023. By using a Markov switching vector error correction model (MS-VECM), we identify that the short-term hedging ability moves towards being negative or zero during turbulent periods. In stable periods, LRE provides good protection against inflation. In the long term, LRE offers a good hedge against expected inflation and shows a superior inflation hedging ability than stocks. Additionally, we identify inflation-hedging portfolios by minimizing the expected shortfall. This inflation-hedging portfolio allocation methodology suggests that listed real estate stocks should play a significant role in investor portfolios.
Schlagwörter: 
Inflation Hedging
Listed Real Estate Companies
Markov-Switching
VECM
Inflation-Hedging Portfolio
Persistent Identifier der Erstveröffentlichung: 
Sonstige Angaben: 
G11;G15
Creative-Commons-Lizenz: 
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Dokumentart: 
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Dokumentversion: 
Published Version
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