The Data

W. Brent Lindquist, Svetlozar T. Rachev, Yuan Hu and Abootaleb Shirvani
Additional contact information
W. Brent Lindquist: Texas Tech University
Svetlozar T. Rachev: Texas Tech University
Yuan Hu: University of California San Diego
Abootaleb Shirvani: Kean University

Chapter Chapter 2 in Advanced REIT Portfolio Optimization, 2022, pp 13-27 from Springer

Abstract: 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.

Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:spr:dymchp:978-3-031-15286-3_2

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DOI: 10.1007/978-3-031-15286-3_2

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