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

Journal of Risk and Financial Management

Thomas C. Chiang²  Hooi Hooi Lean¹ 

[1] School of Social Sciences, Universiti Sains Malaysia, 11800 USM, Penang, Malaysia;Department of Finance, LeBow College of Business, Drexel University, 32nd and Chestnut Streets, Philadelphia, PA 19104 USA.

关键词: stochastic dominance;    risk;    REITs;    stock;    fixed-income assets;    risk-aversion;    risk-seeking;   

DOI  :  10.3390/jrfm1010001

来源: mdpi

【 摘 要 】

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.     

【 授权许可】

CC BY   
© 1996-2016 MDPI AG (Basel, Switzerland) unless otherwise stated