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- W4387670918 abstract "Abstract This paper examines the inflation-hedging capability of listed real estate (LRE) companies in the US from 1975 to 2023, and in three other economies—the UK, Japan, and Australia—from 1990 to 2023. By using a Markov switching vector error correction model (MS-VECM), we identify that the short-term hedging ability moves towards being negative or zero during turbulent periods. In stable 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, we 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." @default.
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- W4387670918 date "2023-10-16" @default.
- W4387670918 modified "2023-10-17" @default.
- W4387670918 title "Listed Real Estate as an Inflation Hedge Across Regimes" @default.
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- W4387670918 doi "https://doi.org/10.1007/s11146-023-09964-x" @default.
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