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

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  • Jiro Hodoshima

    (Nagoya University of Commerce and Business)

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.

Suggested Citation

  • Jiro Hodoshima, 2021. "Evaluation of performance of stock and real estate investment trust markets in Japan," Empirical Economics, Springer, vol. 61(1), pages 101-120, July.
    • Handle: RePEc:spr:empeco:v:61:y:2021:i:1:d:10.1007_s00181-020-01869-5
    DOI: 10.1007/s00181-020-01869-5
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    References listed on IDEAS

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    1. Robert J. Aumann & Roberto Serrano, 2008. "An Economic Index of Riskiness," Journal of Political Economy, University of Chicago Press, vol. 116(5), pages 810-836, October.
    2. Jiro Hodoshima, 2019. "Stock performance by utility indifference pricing and the Sharpe ratio," Quantitative Finance, Taylor & Francis Journals, vol. 19(2), pages 327-338, February.
    3. Kadan, Ohad & Liu, Fang, 2014. "Performance evaluation with high moments and disaster risk," Journal of Financial Economics, Elsevier, vol. 113(1), pages 131-155.
    4. Hodoshima, Jiro & Misawa, Tetsuya & Miyahara, Yoshio, 2018. "Comparison of utility indifference pricing and mean-variance approach under normal mixture," Finance Research Letters, Elsevier, vol. 24(C), pages 221-229.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Performance measure; Utility indifference pricing; Inner rate of risk aversion; Sharpe ratio;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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