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Real Estate Returns and Inflation |
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| Authors: | David Hartzell John S Hekman Mike E Miles |
| Institution: | College of Business Administration 6.222, The University of Texas, Austin, Texas 78712. Currently on leave to Salomon Brothers Inc., One New York Plaza, New York, New York 10004.;School of Business Administration, The University of North Carolina—Chapel Hill, Carroll Hall 012A, Chapel Hill, North Carolina 27514 |
| Abstract: | The ability of assets to protect an investor from purchasing power risk due to inflation has received a good deal of attention in the literature recently. The focus of much of this research has been on the properties of common stocks as inflation hedges. Bodie 1976] finds that the real return on equity is negatively related to both anticipated and unanticipated inflation; a similar result is obtained by Fama and Schwert 1977] . Bernard and Frecka 1983] examine individual common stock returns and find that the majority exhibit this negative relationship. This paper uses similar logic to examine the ability of a well-diversified portfolio of real estate to hedge against anticipated and unanticipated inflation. |
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