Prices

Daily and monthly price time series are available.  Due  to thinly populated target portfolios and the inconsistent trading nature of some of the securities, special rules were implemented to improve the continuity of the portfolios.  To supplement trading prices and improve continuity a Used Price was assigned to the REIT for each time period. There are three categories of Used Prices assigned in the CRSP/Ziman time series:

  • ‚Good Price – an assigned valuation considered acceptable at the beginning of a period to use the security in a portfolio.
  • ‚Soft Price or Delisting Price – an assigned valuation considered acceptable as an ending price of a security already used in a portfolio, but not acceptable at the beginning of a period to use the security in the portfolio.  
  • ‚Missing Price – no acceptable valuation is available, even though the security is listed on a targeted exchange and is otherwise valid for an index. 

The specific types and precedence of Used Prices assigned based on time series frequency are monthly and daily.

Monthly

  • ‚Good Price – month-end closing price or the monthend closing bid-ask average.
  • ‚Soft Price  or Delisting Price
    • ŒDelisting amount – if available within one month.
    • ŒLast Good Price - the last non-missing daily price or bid/ask average within the month and within ten trading days prior to the month end.
    • ŒAssumed Price – 0 if delisted due to bankruptcy

Daily

  • Good Price – closing price, closing bid/ask average, or the interpolated price if no price is available for a trading day but a closing price or bid/ask average is available on previous and next trading days.
  • ‚Soft Price or Delisting Price
    • ŒDelisting Amount – if available within one month.
    • ŒLast Good Price – price carried forward from previous day. Used on the first day of a gap over ten trading days.
    • Next Good Price – price carried back from next trading day. Used over a price gap where listing continues after gap.
    • ŒAssumed Price – 0 if no information and delisted due to bankruptcy