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With inflation rates remaining close to zero in all major developed economies for long periods of time, especially from 1998 - 2015, investors have become increasingly concerned about the potential effects of deflation on asset value. Negative inflation rates were observed between 1998 and 2009 in Hong Kong and Japan, and those economies faced several years of deflation. There is a rich body of literature on the effects of inflation hedging on the returns of stocks, bonds, and real estate. We examine asset returns for these products between 1986 and 2009, and use an ARIMA model to explore whether they offer a deflation hedge. We show that rents and real estate prices are closely linked to consumer prices, which confirms previous findings on inflation hedging. Since the relationship is generally positive and over proportional, we find that real estate is not an effective hedge against deflation. In contrast, we find no relationships between stocks or bonds and inflation. Only for Japanese bonds are we able to find a significantly negative relationship with unexpected deflation.

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