Purpose

This study reinvestigates the short-run and long-run inflation-hedging attributes of residential property assets in the Nigerian property market, based on variations in property types and location.

Design/methodology/approach

Data used for this study comprised the holding period returns of three residential property types, namely bungalow, block of flats and detached house during 1999–2018. These were obtained from property practitioners in Lagos, Abuja and Port Harcourt, respectively. The inflation values obtained from the National Bureau of Statistics were split into actual, expected and unexpected components. Fama and Schwert’s (1977) ordered least square (OLS) regression was used to assess the short-term inflation hedging efficacy. Afterwards, the long-run link between residential property and inflation was examined using the Johansen and Juselius cointegration test.

Findings

The results showed that despite the variations in hedging behaviour across property types in the three locations, residential property assets significantly provided protection over actual, expected and unexpected inflation in the short run based on the OLS regression analysis. The result of the Johansen and Juselius cointegration test also established a long-term link between the residential property assets and actual inflation. However, mixed results were found on the link between residential property and expected and unexpected inflation, as some of the assets did not effectively hedge these inflation components in the long run.

Practical implications

The study implied that the differences in property types and geographic locations are crucial in establishing the short-run and long-run inflation-hedging attributes of residential property assets and should be factored into consideration.

Originality/value

The paper complements the existing body of knowledge on the inflation-hedging attributes of residential property in emerging markets by determining the effects of variation in house types and geographic differences on the analysis.

中文翻译：

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重新审视新兴市场住宅物业投资的通胀对冲属性：尼日利亚的证据

目的

这项研究根据房地产类型和位置的变化，重新调查了尼日利亚房地产市场中住宅房地产资产的短期和长期通胀对冲属性。

设计/方法/方法

本研究使用的数据包括1999-2018年间三种住宅物业类型的持有期回报，即平房，公寓楼和独立式住宅。这些分别来自拉各斯，阿布贾和哈科特港的房地产从业人员。从国家统计局获得的通货膨胀值分为实际，预期和意外部分。Fama和Schwert（1977）的有序最小二乘（OLS）回归用于评估短期通胀对冲效力。之后，使用约翰逊（Johansen）和尤塞留斯（Juselius）协整检验研究了住宅物业和通货膨胀之间的长期联系。

发现

结果表明，尽管三个地区不同类型房地产的套期保值行为有所不同，但根据OLS回归分析，住宅房地产资产在短期内显着提供了针对实际，预期和意外通胀的保护。Johansen和Juselius协整检验的结果还建立了住宅房地产资产与实际通货膨胀之间的长期联系。但是，在住宅物业与预期和意外通货膨胀之间的联系上发现了好坏参半，因为从长远来看，某些资产不能有效地对冲这些通货膨胀因素。

实际影响

该研究表明，财产类型和地理位置的差异对于建立住宅房地产资产的短期和长期通胀对冲属性至关重要，应将其考虑在内。

创意/价值

本文通过确定房屋类型的变化和地域差异对分析的影响，对有关新兴市场住宅物业的通货膨胀-套期保值属性的现有知识体系进行了补充。