The Data

W. Brent Lindquist, Svetlozar T. Rachev, Yuan Hu, Abootaleb Shirvani

Research output: Chapter in Book/Report/Conference proceedingChapterpeer-review

Abstract

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.

Original languageEnglish
Title of host publicationDynamic Modeling and Econometrics in Economics and Finance
PublisherSpringer Science and Business Media Deutschland GmbH
Pages13-27
Number of pages15
DOIs
StatePublished - 2022

Publication series

NameDynamic Modeling and Econometrics in Economics and Finance
Volume30
ISSN (Print)1566-0419
ISSN (Electronic)2363-8370

Fingerprint

Dive into the research topics of 'The Data'. Together they form a unique fingerprint.

Cite this