UNIGE document Report
previous document  unige:5945  next document
add to browser collection
Title

The Short Therm Inflation Hedging Characteristics of UK Real Estate

Authors
MacGregor, Bryan
Matysiak, George
Nanthakumaran, Nanda
Year 1996
Collection Cahiers de recherche; 1996.15
Abstract This study investigates the short term inflation hedging characteristics of U.K. real estate compared to other U.K. investments. It considers not only total returns but also changes in income and changes in capital values. The analyses are undertaken using annual and quarterly data. Stocks, bonds, appraisal-based real estate (including the three property types separately) and real estate stocks are considered. Real estate series, constructed from the original appraisal series to take account of autocorrelation, are also used. The methodology is based on that devised by Fama and Schwert (1977) and tests are undertaken for stationarity and for structural breaks. Hypotheses are established about the coefficients on expected and unexpected inflation in the model and these are tested. It is concluded that real estate has poorer short term hedging characteristics for total return, change in capital value and change in income than stocks but better characteristics than bonds. However, there is evidence to suggest that the relationships change under different economic environments
Full text
This document has no fulltext available yet, but you can contact its author by using the form below.
Structures
Citation
(ISO format)
HOESLI, Martin E. et al. The Short Therm Inflation Hedging Characteristics of UK Real Estate. 1996 https://archive-ouverte.unige.ch/unige:5945

248 hits

0 download

Update

Deposited on : 2010-04-15

Export document
Format :
Citation style :