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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Bibliographic Details
Published inEuropean financial management : the journal of the European Financial Management Association Vol. 20; no. 4; pp. 802 - 824
Main Authors Bird, Ron, Liem, Harry, Thorp, Susan
Format Journal Article
LanguageEnglish
Published Oxford Blackwell Publishing Ltd 01.09.2014
Subjects
Asset management
Assets
Australia
Empirical research
Financial management
Hedging
Inflation
inflation hedging
Infrastructure
infrastructure assets
Investment analysis
regulatory risk premium
Return on investment
Studies
Australia
United States > US
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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.
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