A new bootstrap technique is applied to analyze the performance of a set of Asian REITs and make selections based on the best performers. The cross-section of Asian REITs being non-normal, these techniques are quite useful. The risk-adjusted performance issued from traditional asset pricing models will be analyzed with bootstrapping tools that will also allow controlling for multiple testing problems usually encountered when analyzing the cross-section of returns. "published in the “Handbook of Asian Finance,” edited by David Lee and Gregoriou,2014."
Kurtbegu, Enareta, and Juliana Caicedo-Llano. "Bootstrap Analysis for Asian REIT's Portfolios." In 22nd Annual European Real Estate Society Conference. ERES: Conference. Istanbul, Turkey, 2015.
Section: Performance and Risk Management