This study conducted an empirical analysis using the methodology of Fama and Schwert for the research period from 1973 to 1988 to investigate whether stocks, land, and housing serve as inflation hedges. It was confirmed that stocks did not serve as an inflation hedge, while land and housing served as partial inflation hedges. To determine whether the degree of hedging differs according to the asset holding period, the same model was applied separately to high-inflation and low-inflation periods. During the high-inflation period, none of the assets served as inflation hedges; however, the superiority of real estate over stocks as an inflation hedge was consistent with the results for the entire period. During the low-inflation period, all three assets appeared to be better inflation hedges than during the high-inflation period. The implication of this study's results for investors is that if an increase in expected inflation is anticipated, investors would prefer to hold real estate rather than stocks. Accordingly, this study proposed legislation to promote the establishment of Real Estate Investment Trusts (REITs) that can satisfy investors' demand for real estate while simultaneously fostering the stock market.