International Evidence on Real Estate Securities as an Inflation Hedge
研究了不同国家房地产证券能否对冲通胀，发现其效果不如或相当于普通股票，并支持反向因果关系模型。
The current study investigates whether real estate securities continue to act as a perverse inflation hedge in foreign countries given security design differences. Both a stationary and a nonstationary risk free rate are alternatively used in conjunction with the methodology of Fama and Schwert (1977) and also the methodology of Geske and Roll (1983) to investigate this question. Real estate securities provide a worse hedge against inflation relative to common stocks in some countries and are comparable to stocks in other countries. Also, evidence supports the reverse causality model of Geske‐Roll.