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Shield or mirage? The response of African REIT capital returns to inflationary pressures

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Daniel, I. D. ORCID: https://orcid.org/0000-0003-0749-3111, Fateye, T. B., Daniel, E. A. and Ehwi, R. (2025) Shield or mirage? The response of African REIT capital returns to inflationary pressures. In: African Real Estate Society (AfRES) Conference 2025, 9-12 Sep 2025, Lagos, Nigeria. (In Press)

Abstract/Summary

This study investigates the inflation-hedging effectiveness of Real Estate Investment Trusts (REITs) across mature markets (United States and United Kingdom) and emerging African markets (South Africa and Nigeria) over the period 2013–2024. Grounded in the Fisher hypothesis and its Fama-Schwert extension, the study decomposes inflation into actual, expected, and unexpected components, and analyses their relationships with REIT capital returns. Using monthly data and a suite of econometric models including Autoregressive Distributed Lag (ARDL) for the main analysis, and with Fully Modified Ordinary Least Squares (FMOLS), Dynamic Ordinary Least Squares (DOLS), and Canonical Cointegrating Regression (CCR) as robustness checks. Results indicate mixed and often adverse inflation responsiveness across the sample. Notably, REITs in Nigeria exhibit strong hedging against unexpected inflation despite institutional fragility, while South African REITs demonstrate weak or negative inflation responsiveness. Conversely, REITs in the US and UK offer partial or limited protection, particularly in short-run scenarios. The findings challenge the notion that REITs offer uniform inflation hedging across global markets and highlight the importance of institutional structure, inflation volatility, and asset composition. The study underscores the need for investors and policymakers to contextualise REIT performance within both macroeconomic environments and market-specific frameworks.

Item Type Conference or Workshop Item (Paper)
URI https://centaur.reading.ac.uk/id/eprint/124370
Refereed Yes
Divisions Henley Business School > Real Estate and Planning
Publisher African Real Estate Society (AfRES)
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