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Journal article
DO REITS OUTPERFORM STOCKS AND FIXED-INCOME ASSETS? NEW EVIDENCE FROM MEAN-VARIANCE AND STOCHASTIC DOMINANCE APPROACHES
Journal of risk and financial management, v 1(1)
01 Dec 2008
Featured in Collection : UN Sustainable Development Goals @ Drexel
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.
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Details
- Title
- DO REITS OUTPERFORM STOCKS AND FIXED-INCOME ASSETS? NEW EVIDENCE FROM MEAN-VARIANCE AND STOCHASTIC DOMINANCE APPROACHES
- Creators
- Thomas C. Chiang - Drexel UniversityHooi Hooi Lean - Hospital Universiti Sains MalaysiaWing-Keung Wong - Hong Kong Baptist University
- Publication Details
- Journal of risk and financial management, v 1(1)
- Publisher
- MDPI AG
- Number of pages
- 40
- Grant note
- Universiti Sains Malaysia Drexel University Hong Kong Baptist University 1001/psosial/816094 / Universiti Sains Malaysia RU Grant; Universiti Sains Malaysia
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- [Retired Faculty]
- Web of Science ID
- WOS:000219531800001
- Other Identifier
- 991019167459704721
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- Collaboration types
- Domestic collaboration
- International collaboration
- Web of Science research areas
- Business, Finance