Infrastructure: Real Assets and Real Returns
利用美国和澳大利亚的基础设施与公用事业数据，构建因子模型检验基础设施投资的收益特征，发现其具有超额收益和通胀对冲能力，但缺乏防御性，并识别出监管风险溢价。
Abstract Little empirical work has been done on infrastructure as an asset class despite increased allocations by institutional investors. We build a robust factor model of infrastructure returns using US and Australian infrastructure and utility data to test manager claims that infrastructure investments offer benefits via a combination of monopolistic and defensive assets. We find evidence of excess returns and inflation hedging, but not of defensive characteristics. We compare option‐based models designed to replicate infrastructure asset returns, and identify the regulatory risk premium. A combination of inflation linked bonds and covered call strategies results in improved defensive and inflation hedging characteristics .