Well, that depends. [He chuckles a bit--not so much at you, Yuri, as simply at the breadth of the question.] If you're talking about compressive strength, yes, axes are generally made out of materials that can take higher pressing forces. As for tensile strength, swords perform better. It comes down to whether you want something that's very effective at penetrating tough materials or something with the bendability to cut and be extracted from different angles.

Unless you're commonly going up against enemies in full armor or wanting the option of dismantling fortifications, I'm in favor of swords. It's much easier to attack and block quickly with a sword, and you can often switch between slicing and stabbing moves depending on situation. Besides, it tends to be easier to carry swords around, just due to the shape of the blade.