Evaluation of Performance of Stock and Real Estate Investment Trust Markets in Japan
Evaluation of Performance of Stock and Real Estate Investment Trust Markets in Japan
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日本股票和房地产投资信托市场的表现评估
DOI：
10.1007/s00181-020-01869-5
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发表时间：
2020
影响因子：
3.2
通讯作者：
Jiro Hodoshima
中科院分区：
文献类型：
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作者：
Hodoshima Jiro;Miyahara Yoshio;Atsue Mizushima;Jiro Hodoshima
我们使用Miyahara（Evaluation of the scale risk，2014）提出的内部风险规避率（IRRA）、夏普比率、Sortino比率和卡尔马比率等四种绩效指标，对日本的三个股票市场和一个真实的房地产投资信托市场进行了评估。与其他绩效指标相比，IRRA对潜在风险的反应更敏感，对风险厌恶的投资者更相关。我们揭示了通过IRRA和三个替代性能指标的市场特征。一个股票市场指数，即，东京证券交易所的第二部分，被发现表现明显优于道琼斯和纳斯达克时，由IRRA评估。
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.