REIT returns and inflation: Perverse or reverse causality effects?

Journal of Real Estate Finance and Economics

Volumn 24, Issue 3, 2002, Pages 301-317

  Glascock, John L ^a   Lu, Chiuling ^c   So, Raymond W ^b  

^a GEORGE WASHINGTON UNIVERSITY   (United States)

^b CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

^c NONE

Author keywords

Perverse inflation hedge; REITs; VECM

Indexed keywords

EID: 0036250705     PISSN: 08955638     EISSN: None     Source Type: Journal    
DOI: 10.1023/A:1015221515787     Document Type: Article

References (28)

1. Bodie, Z. (1976). Common Stocks as a Hedge against Inflation, Journal of Finance 31, 459-469.
2. Brueggeman, Chen, and Thibodeau. (1984). "Real Estate Investment Funds: Performance and Portfolio Considerations," AREUEA Journal Fall, 333-54.
3. Chen, K. C., and D. D. Tzang. (1988). "Interest-rate Sensitivity of Real Estate Investment Trusts," Journal of Real Estate Research 13, 13-22.
4. Chen, K. C., P. H. Hendershott, and A. B. Sanders. (1990). "Risk and Return on Real Estate: Evidence from Equity REITs," AREUEA Journal 18, 431-452.
5. Darrat, A. F., and J. L. Glascock. (1989). "Real Estate Returns, Money and Fiscal Deficits: Is the Real Estate Market Efficient?" Journal of Real Estate Finance and Economics 2, 197-208.
6. Engle, R. F., and C. W. J. Granger. (1987). "Co-Integration and Error Correction: Representation, Estimation and Testing," Econometrica 55, 251-276.
7. Fama, E. F. (1981). "Stock Returns, Real Activity, Inflation and Money," American Economic Review 71, 545-565.
8. Fama, E. F., and M. R. Gibbons. (1984). "Inflation, Real Returns and Capital Investment," Journal of Monetary Economics 9, 297-323.
9. Fama, E. F., and G. W. Schwert. (1977). "Asset Returns and Inflation," Journal of Financial Economics 5, 115-146.
10. Fisher, I. (1930). The Theory of Interest. Macmillan, New York.
11. Geske, R., and R. Roll. (1983). "The Fiscal and Monetary Linkage between Stock Returns and Inflation." Journal of Finance 38, 1-33.
12. Gyourko, J., and P. Linneman. (1988). "Owner-occupied Homes, Income-producing Properties, and REITs as Inflation Hedges: Empirical Findings," Journal of Real Estate Finance and Economics 1, 347-372.
13. Goebel, P. R., and K. S. Kim. (1989). "Performance Evaluation of Finite-life Real Estate Investment Trusts," Journal of Real Estate Research 4, 57-69.
14. Hamilton, J. D. (1994). Time Series Analysis, 1st edition. Princeton, New Jersey: Princeton University Press.
15. Hartzell, D., J. S. Hekman, and M. E. Miles. (1987). "Real Estate Returns and Inflation," AREUEA Journal 15, 617-637.
16. Hoag, J. W. (1980). "Towards Indices of Real Estate Value and Return," Journal of Finance 35, 569-580.
17. Jaffe, J. F., and G. Mandelker. (1976). "The 'Fisher Effect' for Risky Assets: An Empirical Investigation," Journal of Finance 31, 447-457.
18. James, C., S. Koreisha, and M. Partch. (1985). "A VARMA Analysis of the Causal Relations Among Stock Returns, Real Output, and Nominal Interest Rates," Journal of Finance 40, 1375-1384.
19. Lee, B. S. (1992). "Causal Relations Among Stock Returns, Interest Rates, Real Activity, and Inflation," Journal of Finance 47, 1591-1603.
20. Liu, C. H., D. J. Hartzell, and M. E. Hoesli. (1997). "International Evidence on Real Estate Securities as an Inflation Hedge," AREUEA Journal 25, 193-221.
21. Miles, M., and T. McCue. (1984). "Commercial Real Estate Returns," AREUEA Journal 12, 355-377.
22. Nelson, C. R. (1976). "Inflation and Rates of Return on Common Stocks," Journal of Finance 31, 471-487.
23. Park, J. Y., D. J. Mullineaux, and I. K. Chew. (1990). "Are REITs Inflation Hedges?" Journal of Real Estate Finance and Economics 3, 91-103.
24. Ross, S. (1989). "Information and Vlatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy," Journal of Finance 44, 1-17.
25. Sirmans, G. S., and C. F. Sirmans. (1987). "The Historical Perspective of Real Estate Returns," Journal of Portfolio Management 13, 22-31.
26. Thorbecke, W. (1997). "On Stock Market Returns and Monetary Policy," Journal of Finance 52, 635-654.
27. Titman, S., and A. Warga. (1989). "Stock Returns as Predictors of Interest Rates and Inflation," Journal of Financial and Quantitative Analysis 24, 47-58.
28. White, H. (1980). "A Heteroskedasticity-consistent Covariance Matrix Estimator and A Direct Test for Heteroskedasticity," Econometrica 48, 817-838.