Abstract/Summary

The relationship between inflation and asset returns remains a critical concern for investors, particularly in emerging economies with volatile macroeconomic conditions. This study examines the inflation-hedging characteristics of securitized real estate investments in Nigeria, focusing on Real Estate Investment Trusts (REITs) and non-REIT listed property companies between 2007 and 2016. Using quarterly data on share prices, dividends, and national inflation rates, the study applies the Fama and Schwert regression framework, complemented by stationarity and trend analyses, to assess income, capital, and total returns relative to inflation dynamics. Findings indicate that Nigerian securitized real estate assets exhibited weak and unstable returns throughout the study period, with non-REITs outperforming REITs in terms of total returns, albeit with high volatility. Both asset classes demonstrated negative beta coefficients in relation to inflation, suggesting perverse hedging characteristics. These results contrast with established evidence from developed markets, where real estate assets often serve as effective inflation hedges, and highlight the contextual challenges of the Nigerian property market, including structural inefficiencies, limited market depth, and persistent inflationary pressures. The study contributes to the limited body of literature on African securitized real estate, offering insights for investors and policymakers. It emphasizes the need for regulatory reforms, improved transparency, and market development to enhance the inflation-hedging potential of Nigerian real estate securities.