Cointegration of Real Estate Stocks and REITs with Common Stocks, Bonds and Consumer Price Inflation

Cointegration of Real Estate Stocks and REITs with Common Stocks, Bonds and Consumer Price Inflation – an International Comparison

Westerheide, Peter

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URL:	http://ub-madoc.bib.uni-mannheim.de/1440
URN:	urn:nbn:de:bsz:180-madoc-14407
Document Type:	Working paper
Year of publication:	2006
The title of a journal, publication series:	None
Publication language:	English
Institution:	Sonstige Einrichtungen > ZEW - Leibniz-Zentrum für Europäische Wirtschaftsforschung
MADOC publication series:	Veröffentlichungen des ZEW (Leibniz-Zentrum für Europäische Wirtschaftsforschung) > ZEW Discussion Papers
Subject:	330 Economics
Subject headings (SWD):	Immobilienmarkt , Immobilienfonds auf Aktien , Inflation , Internationaler Vergleich
Keywords (English):	REITs , Real Estate Securities , Cointegration , Stock Markets , Bond Markets
Abstract:	This paper analyses the performance of real estate securities and their relationship to other asset classes as well as to consumer price inflation in an international comparison over the period from 1990 to 2004. In general, real estate securities seem to represent an asset class distinct from bonds and stocks in most countries. In the long run they seem provide a potential for further diversification of asset portfolios. Additionally, real estate stocks provide a (weak) hedge against consumer price inflation in almost every country.
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