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.
Highlights
The collapse of the dot-com mania in 2000 led investors to reshape their market expectations
The results show that there is no first-order SD between real estate investment trusts (REITs) and alternative assets, implying that investors cannot increase their wealth by switching from one asset to another
As H jA is integrated from H jA−1 in ascending order from the leftmost point of downside risk, we call the SD for risk-averters ascending stochastic dominance (ASD) and call the integral H jA the j th order ascending cumulative distribution function (ACDF) or the j th order ASD integral
Summary
Do REITs outperform stocks and fixed-income assets? Provided in Cooperation with: MDPI – Multidisciplinary Digital Publishing Institute, Basel. Suggested Citation: Chiang, Thomas C.; Lean, Hooi Hooi; Wong, Wing-keung (2008) : Do. REITs outperform stocks and fixed-income assets? 1911-8074, MDPI, Basel, Vol 1, Iss. 1, pp. Standard-Nutzungsbedingungen: Terms of use: Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen. Documents in EconStor may be saved and copied for your personal and scholarly purposes. You are not to copy documents for public or commercial purposes, to exhibit the documents publicly, to make them publicly available on the internet, or to distribute or otherwise use the documents in public. Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Content Licence (especially Creative Commons Licences), you may exercise further usage rights as specified in the indicated licence
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