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Do REITs outperform stocks and fixed-income assets? : new evidence from mean-variance and stochastic dominance approaches
Chiang, Thomas C.; Hooi Hooi Lean; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 1 (2008) 1, pp. 1-40
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 …
Persistent link: https://www.econbiz.de/10011556251
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Expected return, time-varying risk, and hedging demand in the US REITs market
Xiao, Zhongyi; Lin, Zhangxi; Li, Siming - In: Journal of management analytics 1 (2014) 1, pp. 78-98
Persistent link: https://www.econbiz.de/10011729405
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Does local economic uncertainty matter for risk of property companies? : evidence from US REITs
Song, Jeongseop - In: International journal of strategic property management 27 (2023) 2, pp. 105-119
Persistent link: https://www.econbiz.de/10014287646
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The risk and return characteristics of stock market-based real estate indexes and their relation to appraisal-based returns
Gyourko, Joseph E.; Keim, Donald B. - 1990
Persistent link: https://www.econbiz.de/10000800644
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Alpha and persistence in real estate fund performance
Bond, Shaun A.; Mitchell, Paul - In: The journal of real estate finance and economics 41 (2010) 1, pp. 53-79
Persistent link: https://www.econbiz.de/10003995295
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A comparative anatomy of REITs and residential real estate indexes : returns, risks and distributional characteristics
Cotter, John; Roll, Richard - 2010
risk than equity; their betas against a broad market index average about .65. Decomposing their covariances into principal …
Persistent link: https://www.econbiz.de/10008810086
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The diverging role of the systematic risk factors : evidence from real estate stock markets
Lang, Stephan; Scholz, Alexander - In: Journal of property investment & finance 33 (2015) 1, pp. 81-106
Persistent link: https://www.econbiz.de/10010518727
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An assessment of the risk and return of residential real estate
Domian, Dale L.; Wolf, Rob; Yang, Hsiao-fen - In: Managerial finance 41 (2015) 6, pp. 591-599
Persistent link: https://www.econbiz.de/10011336653
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Returns transmission, value at risk, and diversification benefits in international REITs : evidence from the financial crisis
Lu, Chiuling; Tse, Yiuman; Williams, Michael - In: Review of quantitative finance and accounting 40 (2013) 2, pp. 293-318
Persistent link: https://www.econbiz.de/10009708114
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Are public and private asset returns and risks the same? : evidence from real estate data
Hoesli, Martin; Oikarinen, Elias - 2013
This article aims to investigate the similarity of public and private real estate returns and risks over the relatively long horizon using data for the U.S and the U.K. The results show evidence of a one-to-one relationship between publicly traded REIT performance and privately traded direct...
Persistent link: https://www.econbiz.de/10010256953