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 Department of Finance, LeBow College of Business, Drexel University, 32nd and Chestnut Streets, Philadelphia, PA 19104 USA 2 School of Social Sciences, Universiti Sains Malaysia, 11800 USM, Penang, Malaysia 3 Department of Economics, Hong Kong Baptist University, Kowloon Tong, Hong Kong
* Author to whom correspondence should be addressed.
Published: 31 December 2008
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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

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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.

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