The Short Term Inflation Hedging Characteristics of UK Real Estate

J. OF REAL ESTATE FINANCE AND ECONOMICS, Vol. 15 No. 1

Cass Business School Research Paper

Posted: 9 May 1997

See all articles by Martin Hoesli

Martin Hoesli

University of Geneva - Geneva School of Economics and Management (GSEM); Swiss Finance Institute; University of Geneva - Research Center for Statistics; University of Aberdeen - Business School

Bryan MacGregor

University of Aberdeen - Centre for Property Research

George Matysiak

City University London - Faculty of Finance

Nanda Nanthakumaran

University of Aberdeen

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.

JEL Classification: R0

Suggested Citation

Hoesli, Martin Edward Ralph and MacGregor, Bryan D. and Matysiak, George A. and Nanthakumaran, Nanda, The Short Term Inflation Hedging Characteristics of UK Real Estate. J. OF REAL ESTATE FINANCE AND ECONOMICS, Vol. 15 No. 1; Cass Business School Research Paper. Available at SSRN: https://ssrn.com/abstract=9271

Martin Edward Ralph Hoesli

University of Geneva - Geneva School of Economics and Management (GSEM) ( email )

40 Boulevard du Pont d'Arve
Geneva 4, 1211
Switzerland
+41 22 379 8122 (Phone)
+41 22 379 8104 (Fax)

Swiss Finance Institute

c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
Switzerland

University of Geneva - Research Center for Statistics ( email )

Geneva
Switzerland

University of Aberdeen - Business School ( email )

Edward Wright Building
Dunbar Street
Aberdeen, Scotland AB24 3QY
United Kingdom
+41 22 379 8122 (Phone)
+41 22 379 8104 (Fax)

Bryan D. MacGregor (Contact Author)

University of Aberdeen - Centre for Property Research ( email )

Aberdeen AB24 2UF
Scotland
44-1224-272-356 (Phone)
44-1224-273-487 (Fax)

George A. Matysiak

City University London - Faculty of Finance ( email )

London, EC2Y 8HB
Great Britain
+44 171 477 8218 (Phone)
+44 171 477 8573 (Fax)

Nanda Nanthakumaran

University of Aberdeen

Aberdeen AB24 2UF
Scotland

Register to save articles to
your library

Register

Paper statistics

Abstract Views
1,144
PlumX Metrics