PURPOSE: One of the important performance indicators that investors consider in international investment decision making is inflation hedging performance of prospective investments. Africa has been largely left out of investment due to data opacity. The study assessed the actual, expected and unexpected inflation hedging

performance of REITs from four countries which included an African country (Nigeria), and selected countries from other continents (Malaysia, USA and UK). This study attempted to provide relative comparative inflation hedging data to hopefully stimulate more indirect African investment.

DESIGN/METHODS FOLLOWED/APPROACH: The Fama and Schwert (1977) OLS methodology has traditionally been used in inflation hedging analysis. However, one of the assumptions of OLS is stationarity. Accordingly, a unit root test (in this case the Augmented Dickey Fuller test was first conducted to determine if REIT total returns and inflation were stationary. In the study, OLS could not be used because stationarity assumptions OLS are violated. Therefore, cointegration tests are conducted on the data to determine the right model to estimate the relationship between the between total returns and inflation components. Where the variables in the tables listed were found to be cointegrated, the Error Correction Model (ECM) was adopted and where the variables where not cointegrated, first differencing was applied to the variables, upon which the Ordinary Least Squares (OLS) method was used for the inflation hedging analysis.

FINDINGS: The study found that the African REITs (N-REITs) and M-REITs provided a hedge (albeit partial), against all inflation components. In contrast, UK-REIT could not provide a hedge against expected inflation while US-REIT provided a hedge only against one inflation component (expected inflation).

PRACTICAL IMPLICATIONS: Investors interested in hedging against all inflation components should invest in the African (Nigerian) and Malaysian REITs. However, governments in the four countries (and their central banks) need to reduce their CPIs and TB rates if they wish to encourage international investors who have an eye on inflation.