J. Risk Financial Manag. 2008, 1(1), 1-40; doi:10.3390/jrfm1010001
Article

Do REITs Outperform Stocks and Fixed-Income Assets? New Evidence from Mean-Variance and Stochastic Dominance Approaches

1,* email, 2email and 3email
Published: 31 December 2008
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Abstract: 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.
Keywords: stochastic dominance; risk; REITs; stock; fixed-income assets; risk-aversion; risk-seeking
PDF Full-text Download PDF Full-Text [245 KB, uploaded 23 August 2013 17:34 CEST]

Export to BibTeX |
EndNote


MDPI and ACS Style

Chiang, T.C.; Lean, H.H.; Wong, W.-K. Do REITs Outperform Stocks and Fixed-Income Assets? New Evidence from Mean-Variance and Stochastic Dominance Approaches. J. Risk Financial Manag. 2008, 1, 1-40.

AMA Style

Chiang TC, Lean HH, Wong W-K. Do REITs Outperform Stocks and Fixed-Income Assets? New Evidence from Mean-Variance and Stochastic Dominance Approaches. Journal of Risk and Financial Management. 2008; 1(1):1-40.

Chicago/Turabian Style

Chiang, Thomas C.; Lean, Hooi Hooi; Wong, Wing-Keung. 2008. "Do REITs Outperform Stocks and Fixed-Income Assets? New Evidence from Mean-Variance and Stochastic Dominance Approaches." J. Risk Financial Manag. 1, no. 1: 1-40.

J. Risk Financial Manag. EISSN 1911-8074 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert