IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!) to save this article

Performance Comparison Between Real Estate Securities and Real Estate Investment Using Stochastic Dominance and Mean-Variance Analysis

Listed author(s):
  • Aekkachai NITTAYAGASETWAT

    (National Institute of Development Administration, Bangkapi, Bangkok, 10240, Thailand, Tel: +66 2 727 3932)

  • Jiroj BURANASIRI

    (Srinakharinwirot University, Wattana, Bangkok, 10110, Thailand, Tel: +66 2 169 1018)

Registered author(s):

    Unlike in the past, different choices for real estate investment are now available for investors. Real estate securities were introduced as another alternative investment vehicle for real estate investors. To promote efficient investment in real estate and real estate securities, this paper explores the relative performance of different types of real estate investment including land, town home, single house, and real estate securities in Thailand from April 2008 to May 2016 by applying mean-variance and stochastic dominance techniques. The results of this examination suggest that the real estate market is not efficient and asset allocation plays important role in real estate investment performance. Mean-variance and stochastic dominance analysis report the same result that town home investment dominates single house investment and land investment dominates condominium investment. Beside trying to choose the best real estate or real estate security in their portfolio, investors should put extra effort in finding the proper types of real estate for their portfolio.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL: http://icesba.eu/RePEc/icb/wpaper/ICESBA2016_25Jroj_P208-219.pdf
    Download Restriction: no

    Article provided by Spiru Haret University in its journal Published in Procedia of Economics and Business Administration.

    Volume (Year): 3 (2016)
    Issue (Month): 1 (October)
    Pages: 208-219

    as
    in new window

    Handle: RePEc:icb:wpaper:v:3:y:2016:i:1:208-219
    Contact details of provider: Web page: http://icesba.eu

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

    as
    in new window


    1. Clayton, Jim & MacKinnon, Greg, 2003. "The Relative Importance of Stock, Bond and Real Estate Factors in Explaining REIT Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 27(1), pages 39-60, July.
    2. Hoesli, Martin & Oikarinen, Elias, 2012. "Are REITs real estate? Evidence from international sector level data," Journal of International Money and Finance, Elsevier, vol. 31(7), pages 1823-1850.
    3. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2007. "Investing for the Long-run in European Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 34(1), pages 35-80, January.
    4. Elias Oikarinen & Martin Hoesli & Camilo Serrano, 2011. "The Long-Run Dynamics between Direct and Securitized Real Estate," Journal of Real Estate Research, American Real Estate Society, vol. 33(1), pages 73-104.
    5. Roger G. Ibbotson & Laurence B. Siegel, 1984. "Real Estate Returns: A Comparison with Other Investments," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 12(3), pages 219-242.
    6. Haim Levy, 1992. "Stochastic Dominance and Expected Utility: Survey and Analysis," Management Science, INFORMS, vol. 38(4), pages 555-593, April.
    7. repec:arz:wpaper:eres2012-232 is not listed on IDEAS
    8. Alexander, Gordon J. & Baptista, Alexandre M., 2002. "Economic implications of using a mean-VaR model for portfolio selection: A comparison with mean-variance analysis," Journal of Economic Dynamics and Control, Elsevier, vol. 26(7-8), pages 1159-1193, July.
    9. Westerheide, Peter, 2006. "Cointegration of real estate stocks and REITs with common stocks, bonds and consumer price inflation: an international comparison," ZEW Discussion Papers 06-057, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
    Full references (including those not matched with items on IDEAS)

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:icb:wpaper:v:3:y:2016:i:1:208-219. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Rocsana Bucea-Manea-Tonis)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.