Private Commercial Real Estate Equity Returns and Inflation

Huang, Haibo; Hudson‐Wilson, Susan

doi:10.3905/jpm.2007.698906

Cited by 20 publications

(6 citation statements)

References 11 publications

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“…The finding suggests though these two property types exhibited positive returns, they did not provide a good hedge against inflation. These apparent variations imply that the short-term inflation-hedging behaviour of residential property assets in Nigeria differs across property types and locations, and this agrees with the findings of earlier studies such as Huang and Hudson-Wilson (2007) in the United States, Lee (2013) in Hong Kong, Lee (2014) in Malaysia among others. Importantly, this outcome underscores the significance of incorporating housing typology and locational differences in analysing the short-term link between inflation and residential property assets On the strength of these findings, it could be inferred that residential property investments in Nigeria exhibited the short-term inflation-hedging attribute as majority of the assets across the three locations considerably offered protection over actual inflation, expected inflation as well as unexpected inflation.…”

Section: Residential Property and Inflation In The Short Term: Ols Regression Analysissupporting

confidence: 89%

“…These results also varied across time periods. Whereas studies such as Barkham et al (1996), Chu and Sing (2004), Ma and Liu (2008) and Aqsha and Masih (2018) found no short-term correlation between residential property and inflation, several others including Ganesan and Chiang (1998), Huang and Hudson-Wilson (2007), Lee (2013), etc. provided evidence of inflation-hedging efficacy for residential property assets in the short term.…”

Section: The Inflationhedging Attributesmentioning

confidence: 97%

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A fresh look at the inflation-hedging attributes of residential property investments in emerging markets: evidence from Nigeria

Ekemode

2021

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PurposeThis study reinvestigates the short-run and long-run inflation-hedging attributes of residential property assets in the Nigerian property market, based on variations in property types and location.Design/methodology/approachData used for this study comprised the holding period returns of three residential property types, namely bungalow, block of flats and detached house during 1999–2018. These were obtained from property practitioners in Lagos, Abuja and Port Harcourt, respectively. The inflation values obtained from the National Bureau of Statistics were split into actual, expected and unexpected components. Fama and Schwert’s (1977) ordered least square (OLS) regression was used to assess the short-term inflation hedging efficacy. Afterwards, the long-run link between residential property and inflation was examined using the Johansen and Juselius cointegration test.FindingsThe results showed that despite the variations in hedging behaviour across property types in the three locations, residential property assets significantly provided protection over actual, expected and unexpected inflation in the short run based on the OLS regression analysis. The result of the Johansen and Juselius cointegration test also established a long-term link between the residential property assets and actual inflation. However, mixed results were found on the link between residential property and expected and unexpected inflation, as some of the assets did not effectively hedge these inflation components in the long run.Practical implicationsThe study implied that the differences in property types and geographic locations are crucial in establishing the short-run and long-run inflation-hedging attributes of residential property assets and should be factored into consideration.Originality/valueThe paper complements the existing body of knowledge on the inflation-hedging attributes of residential property in emerging markets by determining the effects of variation in house types and geographic differences on the analysis.

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Section: Residential Property and Inflation In The Short Term: Ols Regression Analysissupporting

confidence: 89%

Section: The Inflationhedging Attributesmentioning

confidence: 97%

A fresh look at the inflation-hedging attributes of residential property investments in emerging markets: evidence from Nigeria

Ekemode

2021

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“…These results are somewhat at odds with the results of Huang and Hudson-Wilson [2007], who estimate inf lation sensitivity for NCREIF Property sector indices of Apartments, Office, Retail and Industrial, though there are some questions about the quality of the index construction process. They find that these property e x h i b i t 1 0…”

Section: S Umm Er 2010contrasting

confidence: 80%

The Long-Horizon Benefits of Traditional and New Real Assets in the Institutional Portfolio

Martin¹

2010

JAI

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This article addresses many of these questions as we survey and analyze the potential role of the various real asset classes listed above in reducing inf lation risk in the portfolios of long-horizon institutional investors.We propose a simple model of the evolution of asset cash f lows that can be parameterized by key variables, including: 1) sensitivity of the level of returns to expected and unexpected changes in inf lation; and 2) the degree The Journal of Alternative Investments 2010.13.1:6-29. Downloaded from www.iijournals.com by Deakin University on 08/10/15.It is illegal to make unauthorized copies of this article, forward to an unauthorized user or to post electronically without Publisher permission. r t+1 = υ + βE t [π t+1 ] + φη t+1 + ε t+1

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“…Bond and Seiler (1998) find real estate to be an inflation-hedge -unlike Stevenson (1999). Results from Sing and Low (2000) and Huang and Hudson-Wilson (2007) are mixed. Similarly, results concerning long-term inflation-hedging abilities vary.…”

Section: Literature Reviewmentioning

confidence: 97%

Inflation‐hedging properties of indirect real estate investments in Germany

Obereiner

Kurzrock

2012

Journal of Property Investment &Amp; Finance

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Purpose -This paper seeks to shed light on the question whether German real estate investment vehicles provide an effective hedge against inflation. To do so it aims to investigate open-end real estate funds, special funds and real estate stocks. Design/methodology/approach -Traditional approaches as well as cointegration and causality tests are applied to monthly and quarterly index data from 1992:04 to 2009:12 for the subject investment vehicles. Findings -There is strong evidence that real estate returns are almost independent from inflation in the short run. None of the investigated investment vehicles provide a hedge against expected and unexpected inflation at different lags. In contrast, cointegration tests show that real estate stocks, open-end funds and special funds do provide a hedge against inflation in the long term. Likewise, causality tests suggest that real estate performance is influenced by inflation in the long term.Research limitations/implications -The study still could not investigate closed-end funds and G-REITs. Yet, it does capture the most and comprehensive part of the indirect German real estate investment market. Practical implications -Inflation-hedging capabilities are of particular interest in periods of economic instability. Especially institutional investors with large asset portfolios seek to adjust their asset allocation to changing conditions. Originality/value -To date, research papers on the subject of inflation-hedging capabilities of real estate almost exclusively focus on REITs in the USA and in the UK. Research about the German real estate market and alternative investment vehicles is rare -partly due to a lack of transparency over the past -although international investors more and more adhere to the German real estate investment market.

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Private Commercial Real Estate Equity Returns and Inflation

Cited by 20 publications

References 11 publications

A fresh look at the inflation-hedging attributes of residential property investments in emerging markets: evidence from Nigeria

A fresh look at the inflation-hedging attributes of residential property investments in emerging markets: evidence from Nigeria

The Long-Horizon Benefits of Traditional and New Real Assets in the Institutional Portfolio

Inflation‐hedging properties of indirect real estate investments in Germany

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