Evaluation of performance of stock and real estate investment trust markets in Japan

Jiro Hodoshima ()
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Jiro Hodoshima: Nagoya University of Commerce and Business

Empirical Economics, 2021, vol. 61, issue 1, No 4, 120 pages

Abstract: Abstract We evaluate three stock markets and one real estate investment trust market in Japan by using four performance measures: the inner rate of risk aversion (IRRA) proposed by Miyahara (Evaluation of the scale risk, 2014), Sharpe ratio, Sortino ratio, and Calmar ratio. When compared to other performance measures, the IRRA responds more sensitively to the underlying risk and is more relevant for risk-averse investors. We reveal the characteristics of the markets through the IRRA and three alternative performance measures. One stock market index, i.e., the second section of the Tokyo Stock Exchange, is found to perform considerably better than the DOW and NASDAQ when evaluated by the IRRA.

Keywords: Performance measure; Utility indifference pricing; Inner rate of risk aversion; Sharpe ratio (search for similar items in EconPapers)
JEL-codes: C13 C46 C58 G11 G32 (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1007/s00181-020-01869-5

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