Focusing on the role of the investment horizon, we analyze the inflation-hedging abilities of stocks, bonds, cash and direct commercial real estate investments. Based on vector autoregression for the UK market we find that the inflation-hedging abilities of all assets improve with the investment...

In this article, three oft-mentioned special characteristics of the real estate asset market – high transaction costs, marketing period risk, and return predictability – are addressed in analyzing the role of UK commercial real estate investments in a mixed asset portfolio. Due to favorable...

Despite the fact that commercial real estate comprises a large proportion of investable assets, a functioning derivatives market for private real estate has only existed since early 2005, when swap contracts began to be traded in the UK in significant amounts. Among other concerns about...

Using the Johansen test for cointegration, we examine to which extent inflation rates in the Euro area have converged after the introduction of a single currency. Since the assumption of non-stationary variables represents the pivotal point in cointegration analyses we pay special attention to...

Using the Johansen test for cointegration, we examine to which extent inflation rates in the Euro area have converged after the introduction of a single currency. Since the assumption of non-stationary variables represents the pivotal point in cointegration analyses we pay special attention to...

The focus of this paper 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, we employ different...