Do REITs hedge inflation? Evidence from mature and emerging markets: a comparative analysis of the United States, United Kingdom, South Africa, and Nigeria

This paper conducts a comparative assessment of Real Estate Investment Trusts (REITs) inflation-hedging effectiveness across both mature (United States and United Kingdom) and emerging African (South Africa and Nigeria) markets, thereby situating African REIT performance within a broader global context. The investigation across these four markets was conducted over the period 2013 to 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 indexed monthly data and a suite of econometric models including ARDL for the main analysis, and FMOLS, DOLS, and CCR for robustness checks, we find 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. Our 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.