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

Thomas C. Chiang, Hooi Hooi Lean () and Wing-Keung Wong
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Thomas C. Chiang: Department of Finance, LeBow College of Business, Drexel University, 32nd and Chestnut Streets, Philadelphia, PA 19104 USA

JRFM, 2008, vol. 1, issue 1, 1-40

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.

Keywords: stochastic dominance; risk; REITs; stock; fixed-income assets; risk-aversion; risk-seeking (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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