Evaluation of Performance of Stock and REIT Markets in Japan

Year：2017 NO：17302 Author：Jiro Hodoshima

We evaluate four stock markets and one REIT market in Japan by a value measure based on utility difference pricing and the Sharpe ratio. The value measure based on utility indifference pricing responds more sensitively to the underlying risk and is more relevant for risk-averse investors than the Sharpe ratio. We reveal characteristics of the markets by the value measure and Sharpe ratio.

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