Menu Expand
  1. Journals
  2. Economics, Finance, Business & Management
  3. Credit and Capital Markets – Kredit und Kapital
  4. Vol. 35, Issue 2
  5. pp. 242–279

JOURNAL ARTICLE

Cite JOURNAL ARTICLE

Style
Maurer, R., Sebastian, S. Inflationsrisiken von Aktien, Bonds und indirekten Immobilienanlagen. Credit and Capital Markets – Kredit und Kapital, 35(2), 242-279. https://doi.org/10.3790/ccm.35.2.242
Maurer, Raimond and Sebastian, Steffen "Inflationsrisiken von Aktien, Bonds und indirekten Immobilienanlagen" Credit and Capital Markets – Kredit und Kapital 35.2, 2002, 242-279. https://doi.org/10.3790/ccm.35.2.242
Maurer, Raimond/Sebastian, Steffen (2002): Inflationsrisiken von Aktien, Bonds und indirekten Immobilienanlagen, in: Credit and Capital Markets – Kredit und Kapital, vol. 35, iss. 2, 242-279, [online] https://doi.org/10.3790/ccm.35.2.242
Format
Download

Inflationsrisiken von Aktien, Bonds und indirekten Immobilienanlagen

Maurer, Raimond | Sebastian, Steffen

Credit and Capital Markets – Kredit und Kapital, Vol. 35 (2002), Iss. 2 : pp. 242–279

Read Now Download (PDF)

Additional Information

Article Details

Publisher Name
Duncker & Humblot
DOI
https://doi.org/10.3790/ccm.35.2.242
Language
Multiple languages
Pages
38

Author Details

Raimond Maurer, Frankfurt/Main

Steffen Sebastian, Mannheim

References

  1. Albrecht, P. (1999): Auf dem Weg zu einem holistischen Risikomanagement?, Versicherungswirtschaft 19/99, 1404-1409.  Google Scholar
  2. Albrecht, P./Maurer, R./Ruckpaul, U. (2001): The Shortfall-Risk of Stocks in the Long Run, Journal of Financial Market and Portfolio Management 15, 481-499.  Google Scholar
  3. Asness, C. S. (1996): Why not 100% equities?, Journal of Portfolio Management, Winter 1996, 29-34.  Google Scholar
  4. Barber, C./Robertson, D./Scott, A. (1997): Property and Inflation: The Hedging Characteristics of U.K. Commercial Property, 1967-1994, Journal of Real Estate Finance and Economics 15, 59-76.  Google Scholar
  5. Barnes, M./Boyd, J. H./Smith, B. D. (1999): Inflation and asset returns, European Economic Review 43, 737-754.  Google Scholar
  6. Barkham, R. (1995): The performance of the U.K. property company sector: A guide to investing in British property via the public stock market, Real Estate Finance 12, 90-99.  Google Scholar
  7. Barkham, R./Geltner, D. (1995): Price Discovery in American and British Property Markets, AREUEA Journal 23, 21-44.  Google Scholar
  8. Barkham, R./Ward, C. W. R./Henry, O. T. (1996): The Inflation Hedging-Characteristics of UK Property, Journal of Property Finance 7, 62-76.  Google Scholar
  9. Bodie, Z. (1976): Common Stocks as a Hedge Against Inflation, Journal of Finance 31, 459-470. - Bodie, Z. (1995): On the risks of stocks in the long run, Financial Analysts’ Journal, May/June 1995, 18-22.  Google Scholar
  10. Bond, M. T./Seiler, M. J. (1998): Real Estate Returns and Inflation: An Added Variable Approach, Journal of Real Estate Research 15, 327-338.  Google Scholar
  11. Boudoukh, J./Richardson, M. (1993): Stock Returns and Inflation: A Long-Horizon Perspective, American Economic Review 83, 1346-1354.  Google Scholar
  12. Brown, G. R. (1991): Property Investment and the Capital Markets, London.  Google Scholar
  13. Brueggeman, W. B./Chen, A. H./Thibodeau, T. G. (1984): Real Estate Investment Funds: Performance and Portfolio Considerations, AREUEA Journal 12, 333-334.  Google Scholar
  14. Brueggeman, W. B./Chen, A. H./Thibodeau, T. G. (1992): Some Additional Evidence on the Performance of Commingled Real Estate Investment Funds: 1992-1991, Journal of Real Estate Research 7, 433-448.  Google Scholar
  15. Butler, K. C./Domian, D. L. (1991): Risk, diversification, and the investment horizon, Journal of Portfolio Management, Spring 1991, 41-47.  Google Scholar
  16. Büschgen, H. E. (1971): Rentabilität und Risiko der Investmentanlage, Stuttgart: Poeschel.  Google Scholar
  17. Cauchard, D. (1993): Paysage de l’immobilier cot& apres les reformes, Analyse Financiere 93, 5-15.  Google Scholar
  18. Cleveland, W. S./Tiao, G. C. (1976): Decomposition of Seasonal Time Series: A Model for the Census X-11 Program, Journal of American Statistics Association 71, 581-587. - Cohen, Alain (1990): Le Credit-Bail immobilier regime SICOMI, 2eme Edition, Paris.  Google Scholar
  19. Elton, E./Gruber, M./Rentzler, J. (1983): The Arbitrage Pricing Model and Returns on Assets under Uncertain Inflation, Journal of Finance 38, 525-537.  Google Scholar
  20. Fama, E. F./Gibbons, M. R. (1984): A Comparison of Inflation Forecasts, Journal of Monetary Economics 13, 327-348.  Google Scholar
  21. Fama, E. F./Schwert, G. W. (1977): Asset Returns and Inflation, Journal of Financial Economics 5, 115-146. Felderer, B./Rippin, W. (1994): Inflation, Real Estate and Stock Prices: Evidence from West Germany, Forschungsbericht Nr. 352, Institut für höhere Studien, Wien.  Google Scholar
  22. Fishburn, P. C. (1977): Mean risk Analysis Associated with Below Target Return, American Economic Review 67, 116-126.  Google Scholar
  23. Fishburn, P. C. (1982): Foundations of Risk Measurement. II. Effects of Gains on Risk, Journal of Mathematical Psychology 25, 226-242.  Google Scholar
  24. Fishburn, P. C. (1984): Foundations of Risk Measurement. I. Risk as Probable Loss, Management Science 30, 396-406.  Google Scholar
  25. Fisher, I. (1930): The Theory of Interest, New York.  Google Scholar
  26. Gansean, S./Chiang, Y. H. (1998): The Inflation- Hedging Characteristics of Real and Financial Assets in Hong Kong, Journal of Real Estate Portfolio Management 4, 55-67.  Google Scholar
  27. Global Property Research (1998): GPR Handbook of European Property Companies, Maastricht.  Google Scholar
  28. Gyourko, J./Linnemann, P. (1988): Owner-Occupied Homes, income-Producing Properties, and REIT as Inflation Hedges: Empirical Findings, Journal of Real Estate Finance and Economics 1, 347-372. - Gültekin, N. B. (1983a): Stock Market Return and Inflation: Evidence from Other Countries; Journal of Finance 38, 49-65.  Google Scholar
  29. Gültekin, N. B. (1983b): Stock Market Returns and Inflation Forecasts, Journal of Finance 38, 663-673.  Google Scholar
  30. Hamelink, F./Hoesli, M. (1996): Swiss real estate as a hedge against inflation - New evidence using hedonic and autoregressive models, Journal of Property Finance 7, 33-49.  Google Scholar
  31. Hamelink, F./Hoesli, M./MacGregor, B. (1997): Inflation Hedging Versus Inflation Protection in the U.S. and the U.K., Real Estate Finance 14, 63-73.  Google Scholar
  32. Hartzell, D./Hekman, J. S./Miles, M. E. (1987): Real Estate Returns and Inflation, AREUEA Journal 15, 617-637.  Google Scholar
  33. Helmer, S. (1997): Die vermögensverwaltende Immobilien-KG mit Genußschein - Ein kapitalmarktorientierter Ansatz zur Lösung der Bewertungs- und Liquiditätsproblematik, Frankfurt a.M.  Google Scholar
  34. Hess, T./Sigg, R. (1997): Besteuerung der Anlagefonds und deren Anteilinhaber in der Schweiz - Eine Darstellung der wesentlichen steuerrechtlichen Probleme, Der Schweizer Treuhänder 71, 83-98.  Google Scholar
  35. Hoesli, M. (1993): Investissement Immobilier et Diversification de Portefeuille, Paris.  Google Scholar
  36. Hoesli, M./Hamelink, F. (1996): Diversification of Swiss portfolios with real estate, Journal of Property Valuation & Investment 14, 59-75. - Hoesli, M./MacGregor, B. (2000): Property Investment: Principles and Practice of Portfolio Management; Harlow, England: Pearson Education Limited.  Google Scholar
  37. Hoesli, M./MacGregor, B./Matysiak, G./Nanthakumaran, N. (1997): The Short-Term Inflation-Hedging Characteristics of U.K. Real Estate, Journal of Real Estate Finance and Econometrics 15, 27-57.  Google Scholar
  38. Höger, H. (1996): Offene Immobilienfonds Bleibt der Ausgabeaufschlag ?, Der Langfristige Kredit, 109-110.  Google Scholar
  39. Holzner, P. (2000): Zur Kritik an der Bewertung der Liegenschaften Offener Immobilienfonds, Grundstücksmarkt und Grundstückswert 12, 78-82. - IEIF Institut de l’Epargne Immobiliere et Fonciere (1996): L’Annuaire de l’Immobilier en Bourse, Paris.  Google Scholar
  40. Kahneman, D./Tversky, A. (1979): Prospect Theory: An Analysis of Decisions Under Risk, Econometrica 47, 263-291.  Google Scholar
  41. Laughhunn, D. J./Payne, J. W./ Crum, R. (1980): Managerial Risk Preferences for Below-Target-Returns, Management Science 26, 1238-1249.  Google Scholar
  42. Laux, M./Ohl, K. (1988): Grundstücksinvestment - Die offenen Immobilienfonds -, Frankfurt.  Google Scholar
  43. Leibowitz, M. L./Krasker, W. S. (1988): The persistence of risk: Stocks versus bonds over the long term, Financial Analysts’ Journal, November/December 1988, 40-47.  Google Scholar
  44. Libby, R./Fishburn, P. C. (1977): Behavioral Models of Risk Taking in Business Decisions: A Survey and Evaluation, Journal of Accounting Research 15, 272-292.  Google Scholar
  45. Limmack, R. J./Ward, C. W.R. (1988): Property Returns and Inflation, Land Development Studies 5, 47-55.  Google Scholar
  46. Liu, C./Hartzell, D. J./Hoesli, M. E. (1997): International Evidence on Real Estate Se curities as an Inflation Hedge, AREUEA Journal 25, 193-221.  Google Scholar
  47. Ljung, G./Box, G. (1979): On a Measure of Lack of Fit in Time Series Models, Biometrika 66, 265-270.  Google Scholar
  48. Loipfinger, S. (2001): Transparenz als Schlüssel zum Anlagevertrauen, Der Langfristige Kredit 12, 17-19.  Google Scholar
  49. Mao, J. C. T. (1970): Survey of Capital Budgeting: Theory and Practice, Journal of Finance 25, 349-360.  Google Scholar
  50. March, J. G./Shapira, Z. (1987): Managerial Perspectives on Risk and Risk Taking, Management Science 33, 1404-1418. - Martin, S./Maurer, R. (1997): Diversifikationspotential und Inflationshedge - Eigenschaften deutscher Immobilienaktiengesellschaften, Grundstücksmarkt und Grundstückswert, 350-354.  Google Scholar
  51. Maurer, R./Sebastian, S. (1999): Immobilienfonds und Immobilienaktiengesellschaften als finanzwirtschaftliche Substitute für Immobiliendirektanlagen, Zeitschrift für Betriebswirtschaft, Ergänzungsheft 3/99, 169-194.  Google Scholar
  52. Maurer, R./Sebastian, S. (2002): Inflation Risk Analysis of European Real Estate Securities, erscheint in: Journal of Real Estate Research.  Google Scholar
  53. Maurer, R./Schlag, C. (2001): Investmentfonds-Ansparpläne: erwartetes Versorgungsniveau und Shortfall-Risiken, Der Langfristige Kredit 12, 40-45.  Google Scholar
  54. Maurer, R./Sebastian, S./Stephan, T. G. (2002): Immobilienindizes im Portfolio- Management, in: Finanzausschuß Finanzmathematik (Hrsg.): Investmentmodelle für das Asset-Liability-Modelling von Versicherungsunternehmen, Karlsruhe, 255-283.  Google Scholar
  55. Matysiak, G./Hoesli, M./MacGregor, B./Nanthakumaran, N. (1996): The long-term inflation-hedging characteristics of UK commercial property, Journal of Property Finance 7, 50-61.  Google Scholar
  56. Miles, M./Mahoney, J. (1997): Is Commercial Real Estate an Inflation Hedge?, Real Estate Finance, 31-45.  Google Scholar
  57. Nelson, C. R. (1976): Inflation and rates of returns on common stocks, Journal of Finance 31, 471-483.  Google Scholar
  58. Newell, G. (1996): The Inflation-Hedging Attributes of Australian Commercial Property: 1984-1995, Journal of Property Finance 7, 6-20.  Google Scholar
  59. Newey, W./West, K. (1987): A Simple Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix, Econometrica, 55, 703-708.  Google Scholar
  60. Ooi, J. (1999): The debt maturity structure of UK property companies, Journal of Property Research 16, 293-307.  Google Scholar
  61. Park, J. Y./Mullineaux, D. J./Chew, I. K. (1990): Are REITS Inflation Hedges ?, Journal of Real Estate Finance and Economics 3, 91-103.  Google Scholar
  62. Preda, S., Hrsg. (1991): Funds and Portfolio Management Institutions - An International Survey, Amsterdam et al.: North-Holland.  Google Scholar
  63. Rosenberg, C. N. jr./Sack, P. (1975): The High Risks of Open-end Real Estate Funds, Journal of Portfolio Management, Fall, 55-57.  Google Scholar
  64. Reilly, F. K./ Johnson, G. L./Smith, R. E. (1970): Inflation, Inflation Hedge, and Common Stocks, Financial Analysts’ Journal 28, 104-110.  Google Scholar
  65. Reilly, F. K./Johnson, G. L./Smith, R. E. (1971): Individual Common Stocks as Inflationedge, Journal of Financial and Quantitative Analysis 6, 1015-1024.  Google Scholar
  66. Rubens, J. H./Bond, M. T./Webb, J. R. (1989): The Inflation-Hedging Effectiveness of Real Estate, Journal of Real Estate Research 4, 45-55.  Google Scholar
  67. Seiler, M. J./Webb, J. R./Myer, F. C. N. (2001): Can Real Estate Portfolios Be Rebalances/Diversified Using Equity REIT Shares, Journal of Real Estate Portfolio Management 7, 25-41.  Google Scholar
  68. Sing, T. F./ Low, S.-H. Y. (2000): The Inflation-Hedging Characteristics of Real Estate and Financial Assets in Singapore, Journal of Real Estate Portfolio Management 6, 373-385.  Google Scholar
  69. Solnik, B. (1983): The Relation between Stock Prices and Inflationary Expectations: The International Evidence, Journal of Finance 38, 35-48.  Google Scholar
  70. Stehle, R. (1999): Renditevergleich von Aktien und festverzinslichen Wertpapieren auf Basis des DAX und des REXP, Working Paper, Humboldt-Universität zu Berlin  Google Scholar
  71. Yobbaccio, E./Rubens, J. H./Ketcham, D. C. (1995): The Inflation-Hedging Properties of Risk Assets: The Case of REITs, Journal of Real Estate Research 10, 279-298.  Google Scholar
  72. Winkler, R. L/Roodman, M./Britney, R. R. (1972): The Determination of Partial Moments; Management Science 19, 290-295.  Google Scholar
  73. Zimmermann, H. (1991): Zeithorizont, Risiko und Performance: Eine Übersicht, Finanzmarkt und Portfolio Management 5, 164-181.  Google Scholar
  74. Zimmermann, H. (1993): Editorial: Aktien für die lange Frist?, Finanzmarkt und Portfolio Management 7, 129-133.  Google Scholar

Abstract

Inflation Risks of Stock, Bonds and Indirect Real Estate Investments

For private investors the protection against a loss in purchase power is an essential element of their investment decision. Typical investment in portfolios of stock, bonds and real estate investments companies as indirect real estate investments are examined for the period 1980:1-2000:12. As the conceptions of real estate investment vehicles differs substantially in national legislation, an overview of the institutional frameworks regarding these companies is given for the markets in Germany, France, Switzerland and United Kingdom. Besides the classical Fama/Schwert-approach the inflation risk is examined using shortfall risk measurements for different investment horizons

Table of Contents

Section Title Page Action Price
Raimond Maurer/Steffen Sebastian: Inflationsrisiken von Aktien, Bonds und\rindirekten Immobilienanlagen 242
I. Problemstellung 242
II. Immobilien-Investmentgesellschaften in Europa 245
1. Historie 245
2. Ausprägungen in Frankreich, Deutschland, Großbritannien und Schweiz 246
Frankreich 246
Deutsche offene Immobilienfonds 247
Deutsche Immobilienaktiengesellschaften 249
Schweiz 249
Großbritannien 250
3. Konstruktion von Indexportfolios 251
III. Quantifizierung des Inflationsrisikos: Theoretische Grundlagen 253
1. Der Hedgingansatz von Fama/Schwert 253
2. Analyse im Kontext von Shortfall-Ansätzen 255
IV. Empirische Resultate 257
1. Datenbasis 257
2. Ergebnisse der Regressionsanalysen 261
3. Resultate der Short fall-Analysen 265
V. Resümee 274
Literatur 275
Zusammenfassung: Inflationsrisiken von Aktien, Bonds und indirekten Immobilienanlagen 278
Summary: Inflation Risks of Stock, Bonds and Indirect Real Estate Investments 278
Résumé: Risques d'inflation des actions, obligations et placements immobiliers indirects 279

Contact

Duncker & Humblot GmbH Carl-Heinrich-Becker-Weg 9 12165 Berlin, Deutschland T: +49 30 790006-0

Quick Navigation

2024 Duncker & Humblot GmbH

Powered by CloudPublish

We use cookies to ensure that you get the best experience on our website. Learn more about how we use cookies.