Inflation risk analysis of European real estate securities

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URL:	https://ub-madoc.bib.uni-mannheim.de/2834
URN:	urn:nbn:de:bsz:180-madoc-28349
Document Type:	Working paper
Year of publication:	2000
The title of a journal, publication series:	Rationalitätskonzepte, Entscheidungsverhalten und ökonomische Modellierung
Volume:	00-07
Place of publication:	Mannheim
Publication language:	English
Institution:	School of Law and Economics > Sonstige - Fakultät für Rechtswissenschaft und Volkswirtschaftslehre
MADOC publication series:	Sonderforschungsbereich 504 > Rationalitätskonzepte, Entscheidungsverhalten und ökonomische Modellierung (Laufzeit 1997 - 2008)
Subject:	330 Economics
Classification:	JEL: G15 G11 ,
Subject headings (SWD):	Frankreich , Deutschland , Großbritannien , Schweiz , Pfandbrief , Immobilienfonds , Portfoliomanagement , Rendite , Risiko , Inflation
Abstract:	Real estate is an important asset, but as direct investment linked with several difficulties. Shares of public open end funds or of real estate stock corporations represent a possible way for an investor to avoid these problems. The focus of this paper is the inflation risks of European real estate securities. An overview for institutional frameworks regarding these companies is given. The returns from securitised real estate in France, Germany, Switzerland and the United Kingdom are examined for the period 1980:1-1998:12. Besides the classical Fama/Schwert-approach, shortfall risk measurements have been used. In this context, transaction costs in particular have been taken into account.
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