DOI: 10.5176/2251-1997_AF14.59
Authors: Dalina Amonhaemanon, and Jan Annaert
Abstract:
This study investigates the relationship between inflation and returns on various types of securitized real estate, comprising of the Property, Construction and material, Property and construction and Property fund in Thailand. We find that all these forms of securitized real estate provide a perverse hedge against ex post and ex ante inflation. While both Construction material and Property construction shows a perverse hedge against unexpected inflation, Property and Property fund have a positive(albeit not strongly significant) relationship. Interestingly, the time varying analyses show that Property and construction provides a super hedge against ex post inflation in the prosperous economic environment, while it gives a perverse hedge in the financial crisis.
Keywords: property stock index; securitized property; inflation; hedging; Thailand
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