International Articles: Do Real Estate Stocks Hedge Inflation in the Long Run? Evidence From Three East Asian Emerging Markets

Lee, Ming-Te; Lee, Ming-Long; Lai, Fav-Tsoin; Yang, Tung-Hsiao

doi:10.1080/10835547.2011.12090296

Cited by 7 publications

(3 citation statements)

References 29 publications

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“…There have been numerous studies examining various aspects of LRE's ability to serve as an inflation hedge. One strand of research focuses on protecting against expected and unexpected inflation in the short run (e.g., Chen and Tzang, 1988;Gyourko and Linneman, 1998;Murphy and Kleiman, 1989;Titman and Warga, 1989;Chan et al, 1990;Park et al, 1990;Yobaccio et al, 1995;Hardin et al, 2012;Fang et al, 2022;and Connolly and Stivers, 2022), while others investigate the long-term relationship using cointegration techniques (e.g., Chatrath and Liang, 1998;Glascock et al, 2002;Bahram et al, 2004;Hoesli et al, 2008;Lee and Lee, 2012;Lee et al, 2011;and Fehrle, 2022). 1 The findings are quite mixed.…”

Section: Literature Reviewmentioning

confidence: 99%

“…In contrast to this, Chatrath and Liang (1998) and Bahram et al (2004) support the traditional notion that REITs do not hedge against inflation (in contrast to direct real estate). Lee et al (2011) investigate the long-run inflation-hedging properties of real estate stocks in East Asian developing countries. They report that LRE was not capable of hedging inflation in the long run.…”

Section: Literature Reviewmentioning

confidence: 99%

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Listed Real Estate as an Inflation Hedge across Regimes

Hoesli,

Zhu,

Muckenhaupt

2023

29th Annual European Real Estate Society Conference

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This paper investigates the inflation hedging capability of listed real estate (LRE) companies from 1990 to 2021 in four economies: the US, the UK, Australia, and Japan. By using a Markov switching vector error correction model (MS-VECM), we identify that the short-term hedging ability moves towards being negative or zero during crisis periods. In non-crisis periods, LRE provides good protection against inflation. In the long term, LRE provides a good hedge against expected inflation, and shows a superior inflation hedging ability than stocks. Additionally, we propose inflation-hedging portfolios by minimizing the expected shortfall. This inflationhedging portfolio allocation methodology suggests that listed real estate stocks should play a significant role in investor portfolios.

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Section: Literature Reviewmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

Listed Real Estate as an Inflation Hedge across Regimes

Hoesli,

Zhu,

Muckenhaupt

2023

29th Annual European Real Estate Society Conference

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“…According to the expanded Fisher equation, the nominal rate of return is a function of the expected (nominal) rate of return, the unexpected (nominal) rate of return and both expected and unexpected inflation. Ganesan and Chiang (1998), Bond and Seiler (1998), Stevenson (1999), Wu and Pandey (2012) and Lee (2021) have demonstrated a significant positive relationship between housing returns (HR) and both expected and unexpected inflation in the short run. Barkham et al (1996), Wang et al (2008), Gunasekarage et al (2008) and Lee (2012Lee ( , 2013 suggest that housing investment is a good inflation hedge in the long run.…”

Section: Introductionmentioning

confidence: 99%

Can housing investment hedge against inflation?

Nguyễn

2022

IJHMA

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Purpose This paper aims to test the hedging ability of housing investment against inflation in Japan and the USA during the period 2000–2020. Design/methodology/approach This study applies the deep learning method and The exponential general autoregressive conditional heteroskedasticity in mean (1, 1) model with breaks. Findings Within the asymmetric framework, it is found that housing returns (HR) can hedge against inflation in both these markets, which mentions that when investing in the housing market in Japan and the USA, investors are compensated for bearing from inflation. This result is consistent with Fisher’s hypothesis. Especially, the empirical results show that the risk-return tradeoff is available in Japan’s housing market and not available in the US housing market. Any signal of a high inflation rate – referred to as “bad news” – may cause a drop in HR in Japan and a raise in the USA. Originality/value To the best of the author’s knowledge, this is one of the first studies using the deep learning method (long short-term memory model) to estimate the expected/unexpected inflation rates.

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Listed Real Estate as an Inflation Hedge Across Regimes

Muckenhaupt,

Hoesli,

Zhu

2023

J Real Estate Finan Econ

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This paper examines the inflation-hedging capability of listed real estate (LRE) companies in the US from 1975 to 2023, and in three other economies—the UK, Japan, and Australia—from 1990 to 2023. By using a Markov switching vector error correction model (MS-VECM), we identify that the short-term hedging ability moves towards being negative or zero during turbulent periods. In stable periods, LRE provides good protection against inflation. In the long term, LRE offers a good hedge against expected inflation and shows a superior inflation hedging ability than stocks. Additionally, we identify inflation-hedging portfolios by minimizing the expected shortfall. This inflation-hedging portfolio allocation methodology suggests that listed real estate stocks should play a significant role in investor portfolios.

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International Articles: Do Real Estate Stocks Hedge Inflation in the Long Run? Evidence From Three East Asian Emerging Markets

Cited by 7 publications

References 29 publications

Listed Real Estate as an Inflation Hedge across Regimes

Listed Real Estate as an Inflation Hedge across Regimes

Can housing investment hedge against inflation?

Listed Real Estate as an Inflation Hedge Across Regimes

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