The Asymmetric Response of Equity REIT Returns to Inflation

  • Marc W. Simpson
  • Sanjay Ramchander
  • James R. Webb


This paper posits that the failure of past studies to document a positive relationship between REIT (Real Estate Investment Trust) returns and inflation is an artifact of the empirical framework that has predominated in these studies. Applying a pooled estimation methodology to an expansive data set containing 195 publicly traded equity REITs for the period 1981–2002, the study documents a strong asymmetry in the response of equity REIT returns to inflation. Specifically, when expected and unexpected inflation are separated into positive and negative changes, results indicate that equity REIT returns rise in response to both increases and decreases in inflation. The evidence, which is partly contingent on the prevailing monetary policy environment, carries important policy implications for portfolio management and provides insights into the observed anomalous relationship between REITs and inflation.


REITs Inflation Asymmetry Pooled estimation 


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Copyright information

© Springer Science+Business Media, LLC 2007

Authors and Affiliations

  • Marc W. Simpson
    • 1
  • Sanjay Ramchander
    • 2
  • James R. Webb
    • 3
  1. 1.Department of Economics and FinanceUniversity of Texas—Pan AmericanEdinburgUSA
  2. 2.Department of Finance and Real EstateColorado State UniversityFort CollinsUSA
  3. 3.Department of Finance, James J. Nance College of BusinessCleveland State UniversityClevelandUSA

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