Title
The Data
Document Type
Article
Publication Date
1-1-2022
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.
Publication Title
Dynamic Modeling and Econometrics in Economics and Finance
First Page Number
13
Last Page Number
27
DOI
10.1007/978-3-031-15286-3_2
Recommended Citation
Lindquist, W. Brent; Rachev, Svetlozar T.; Hu, Yuan; and Shirvani, Abootaleb, "The Data" (2022). Kean Publications. 712.
https://digitalcommons.kean.edu/keanpublications/712