This paper presents a straightforward method for asymptotically removing the well-known upward bias in observed returns of equally-weighted portfolios. Our method removes all of the bias due to any random transient errors such as bid-ask bounce and allows for the estimation of short horizon...

In this paper, we apply the method for removing the upward bias in returns in equally-weighted return indexes developed by Fisher, Weaver, and Webb (2010) to REIT stocks in the US. While we find significant bias in this index, two trends are evident: first, there is less overall bias than in...