There are two things to consider in answer to your question. The first is that some investments create regular cash flow in addition to appreciation of value. Most of the time when people think of investing they look for appreciation of value in the sense that they want to buy low and sell high. They hope that the difference between the amount they pay for the investment and what they can sell it for later will represent a good return. In stock market investing this is generally the norm. However, some investments not only appreciate in value, but they supply cash flow during the holding period. For this reason, when the amount of cash flow earned is factored in and added to the realized appreciation of value, the return is much greater. The best example is real estate. Real estate has often represented an investment where realized equity due to appreciation of value and cash flow earned during the holding period combine to provide the highest return.
Cash flow in real estate is generated when the amount of monthly rental income exceeds the monthly expenses of owning the property, including mortgage expense, taxes, insurance and repairs.
The second thing to consider in answering your question is investor expertise. An experienced investor certainly has an advantage over one who is inexperienced. An experienced stock market investor can certainly manipulate better returns than an inexperienced real estate investor and vice versa.
Given an equal expertise among investors, I would suggest that real estate will generally return a higher rate than the stock market in an equal period of time during the same economic period. I say “generally” because there are so many mitigating factors. In different economic times there have been advantages, one over the other. And in different economic times there have been anomalies in both markets that have represented advantages over the other. Both can create investment losses at any given time, so keep that in mind.
But “generally”, over the long term (because both should be viewed as a long-term investment) a real estate investment that generates cash flow will out-perform a stock market investment in its return to the investor.