Infrastructure: Real Assets and Real Returns
Little empirical work has been done on infrastructure as an asset class despite increased allocations by institutional investors. We build a robust factor model of infrastructure returns using US and Australian infrastructure and utility data to test manager claims that infrastructure investments of...
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Published in | European financial management : the journal of the European Financial Management Association Vol. 20; no. 4; pp. 802 - 824 |
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Main Authors | , , |
Format | Journal Article |
Language | English |
Published |
Oxford
Blackwell Publishing Ltd
01.09.2014
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Subjects | |
Online Access | Get full text |
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Summary: | Little empirical work has been done on infrastructure as an asset class despite increased allocations by institutional investors. We build a robust factor model of infrastructure returns using US and Australian infrastructure and utility data to test manager claims that infrastructure investments offer benefits via a combination of monopolistic and defensive assets. We find evidence of excess returns and inflation hedging, but not of defensive characteristics. We compare option‐based models designed to replicate infrastructure asset returns, and identify the regulatory risk premium. A combination of inflation linked bonds and covered call strategies results in improved defensive and inflation hedging characteristics. |
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Bibliography: | ark:/67375/WNG-81QHBFJX-N istex:34AD3D71B01B0086E8446EB18B8C1C85FDE06A20 ArticleID:EUFM650 ObjectType-Article-2 SourceType-Scholarly Journals-1 ObjectType-Feature-1 content type line 23 |
ISSN: | 1354-7798 1468-036X |
DOI: | 10.1111/j.1468-036X.2012.00650.x |