Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/76936
Authors: 
Maurer, Raimond
Sebastian, Steffen
Year of Publication: 
2002
Series/Report no.: 
Working Paper Series: Finance & Accounting, Johann Wolfgang Goethe-Universität Frankfurt a. M. 51
Abstract: 
The focus of this article is the analysis of the inflation risk of European real estate securities. Following both a causal and a final understanding of risk, the analysis is twofold. First, to examine the causal influence of inflation on short- and long-term asset returns, different regression approaches are employed based on the methodology of Fama and Schwert (1977). Hedging capacities against expected inflation are found only for German open-end funds. Secondly, different shortfall risk measures are used to study whether an investment in European real estate securities protects against a negative real return at the end of a given investment period.
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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