TY - CHAP
T1 - The Data
AU - Lindquist, W. Brent
AU - Rachev, Svetlozar T.
AU - Hu, Yuan
AU - Shirvani, Abootaleb
N1 - Publisher Copyright:
© 2022, The Author(s), under exclusive license to Springer Nature Switzerland AG.
PY - 2022
Y1 - 2022
N2 - All data sets utilized in the book are discussed in this Chapter. The primary set, used to develop prototype portfolios, consists of 26 domestic REIT ETFs and seven international REITs traded over the counter as ADRs in the USA. These are augmented by five real estate stocks used for portfolio diversification and additional assets representing major stock market classes used to develop factor-analysis models. Benchmark data used to gauge the performance of our prototype portfolios consist of REIT market indices, REIT-based ETFs, a REIT-based mutual fund, and a general market ETF. Price data for all assets was obtained from Bloomberg Professional Services, with the notable exception of data for two of the REIT market indices, which came from the Federal Reserve Bank of St. Louis.
AB - All data sets utilized in the book are discussed in this Chapter. The primary set, used to develop prototype portfolios, consists of 26 domestic REIT ETFs and seven international REITs traded over the counter as ADRs in the USA. These are augmented by five real estate stocks used for portfolio diversification and additional assets representing major stock market classes used to develop factor-analysis models. Benchmark data used to gauge the performance of our prototype portfolios consist of REIT market indices, REIT-based ETFs, a REIT-based mutual fund, and a general market ETF. Price data for all assets was obtained from Bloomberg Professional Services, with the notable exception of data for two of the REIT market indices, which came from the Federal Reserve Bank of St. Louis.
UR - http://www.scopus.com/inward/record.url?scp=85142069466&partnerID=8YFLogxK
U2 - 10.1007/978-3-031-15286-3_2
DO - 10.1007/978-3-031-15286-3_2
M3 - Chapter
AN - SCOPUS:85142069466
T3 - Dynamic Modeling and Econometrics in Economics and Finance
SP - 13
EP - 27
BT - Dynamic Modeling and Econometrics in Economics and Finance
PB - Springer Science and Business Media Deutschland GmbH
ER -