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Listed Real Estate as an Inflation Hedge across Regimes - new publication by Martin Hoesli


In a new paper, Prof. Martin Hoesli  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), Hoesli and his co-authors 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 offers a good hedge against expected inflation and shows a superior inflation hedging ability than stocks.

Additionally, they 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.


The paper is co-authored with Jan Muckenhaupt and Bing Zhu from the Technical University of Munich, and has been accepted for publication in the Journal of Real Estate Finance and Economics. 

Sep 26, 2023

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