Do REITs outperform stocks and fixed-income assets? New evidence from mean-variance and stochastic dominance approaches

Artikel

This paper re-examines the performance of REITs, stocks, and fixed-income assets based on the preferences of risk-averse and risk-seeking investors using mean-variance and stochastic dominance approaches. Our findings indicate no first-order stochastic dominance and no arbitrage opportunity among these assets. However, our stochastic dominance results reveal that in order to maximize their expected utility, the risk-averse prefer fixed-income assets over real estate, which, in turn, is preferable to stocks. On the other hand, to maximize their expected utility, all risk-seeking investors would prefer to invest in stocks than in real estate, but real estate, in turn, is preferable to fixed-income assets.

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• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 1 ; Year: 2008 ; Issue: 1 ; Pages: 1-40 ; Basel: MDPI

Classification and Topics

• Classification: Wirtschaft
• Subject: stochastic dominance ; risk ; REITs ; stock ; fixed-income assets ; risk-aversion ; risk-seeking

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Chiang, Thomas C. ; Lean, Hooi Hooi ; Wong, Wing-keung
• Event: Veröffentlichung
• (who): MDPI
• (where): Basel
• (when): 2008

Further information

• DOI: doi:10.3390/jrfm1010001
• Handle: http://hdl.handle.net/10419/178513