A portfolio weighting model for the S&P 500 Real Estate sector based on two factors: (1) firm revenue and (2) gross operating profits: an empirical analysis 2009-2023.

Authors

Presenter(s)

Patrick James Burns

Comments

Presentation: 9:00-10:15, Kennedy Union Ballroom

Files

Description

In this study I test the hypothesis that firm revenue growth and gross operating profits growth are priced-in-risk factors in the stock market. My base model is an equal weight model with the top 20 real estate stocks as my portfolio. The weights for the 20 stocks will change yearly based on firm revenue or gross operating profits growth. I then compare the returns to the broad market S&P 500 ETF SPY to determine if the factor models generate alpha. Given the efficient market hypothesis, I make the assumption that the alpha is a measure of the extra returns required by investors for their investment risk. The period of analysis is 2009-2023.

Publication Date

4-17-2024

Project Designation

Independent Research

Primary Advisor

Robert D. Dean, Jon A. Fulkerson, Henry G. Willmore

Primary Advisor's Department

Economics and Finance

Keywords

Stander Symposium, School of Business Administration

Institutional Learning Goals

Scholarship

Recommended Citation

"A portfolio weighting model for the S&P 500 Real Estate sector based on two factors: (1) firm revenue and (2) gross operating profits: an empirical analysis 2009-2023." (2024). Stander Symposium Projects. 3313.
https://ecommons.udayton.edu/stander_posters/3313