 |
| The Inflation-Hedging Properties of Risk
Assets: The Case of REITs Author: Elizabeth Yobaccio, Jack H. Rubens, and David C. Ketcham Start Page: 279 Abstract: This study examines
the inflation-hedging abilities of REITs over the period 1972:2-1992:12 to determine
whether REITs act as a hedge against expected and/or unexpected inflation. The time period
used in this study is substantially longer than in earlier studies. A model of real estate
returns is derived that has components for expected and unexpected returns and allows for
variation in the real return on risky assets. The results indicate that REITs provide some
hedging capability against expected inflation, but act as perverse hedges against
unexpected inflation. These results are robust with respect to time period studied,
measure of expected inflation and proxy for the market portfolio, indicating that the
apparent perverse hedging property of real estate investments is not due to methodological
problems. |
