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 to maximize their expected utility, the risk-averse prefer fixed-income assets over real estate, which, in turn, is …

This paper studies the cross-sectional risk-return trade-off in the stock market. A fundamental principle in finance is … the positive relation between risk and expected return, whereas recent empirical evidence suggests the opposite. Using … several intuitive risk measures, we show that the negative risk-return relation is much more pronounced among firms in which …