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Journal of Risk and Financial Management is published by MDPI from Volume 6 Issue 1 (2013). Articles in this Issue were published by another publisher in Open Access under a CC-BY (or CC-BY-NC-ND) licence. Articles are hosted by MDPI on mdpi.com as a courtesy and upon agreement with Prof. Dr. Raymond A. K. Cox and Prof. Dr. Alan Wong.
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J. Risk Financial Manag. 2008, 1(1), 1-40; https://doi.org/10.3390/jrfm1010001

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. View Full-Text
Keywords: stochastic dominance; risk; REITs; stock; fixed-income assets; risk-aversion; risk-seeking stochastic dominance; risk; REITs; stock; fixed-income assets; risk-aversion; risk-seeking
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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.

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