Are property prices non-linear? An investigation of the behaviour of US REITs and UK property company shares

Linear models of market performance may be misspecified if the market is subdivided into distinct regimes exhibiting different behaviour. Price movements in the US Real Estate Investment Trusts and UK Property Companies Markets are explored using a Threshold Autoregressive (TAR) model with regimes defined by the real rate of interest. In both US and UK markets, distinctive behaviour emerges, with the TAR model offering better predictive power than a more conventional linear autoregressive model. The research points to the possibility of developing trading rules to exploit the systematically different behaviour across regimes.

Property company performance and real interest rates: a regime-switching approach

Linear models of property market performance may be misspecified if there exist distinct states where the market drivers behave in different ways. This paper examines the applicability of non-linear regime-based models. A Self Exciting Threshold Autoregressive (SETAR) model is applied to property company share data, using the real rate of interest to define regimes. Distinct regimes appear exhibiting markedly different market behaviour. The model both casts doubt on the specification of conventional linear models and offers the possibility of developing effective trading rules for real estate equities.

Can company-fund manager meetings convey informational benefits? Exploring the rationalisation of equity investment decision making by UK fund managers

Conventional economic theory, applied to information released by listed companies, equates ‘useful’ with ‘price-sensitive’. Stock exchange rules accordingly prohibit the selec- tive, private communication of price-sensitive information. Yet, even in the absence of such communication, UK equity fund managers routinely meet privately with the senior execu- tives of the companies in which they invest. Moreover, they consider these brief, formal and formulaic meetings to be their most important sources of investment information. In this paper we ask how that can be. Drawing on interview and observation data with fund managers and CFOs, we find evidence for three, non-mutually exclusive explanations: that the characterisation of information in conventional economic theory is too restricted, that fund managers fail to act with the rationality that conventional economic theory assumes, and/or that the primary value of the meetings for fund managers is not related to their investment decision making but to the claims of superior knowledge made to clients in marketing their active fund management expertise. Our findings suggest a disconnect between economic theory and economic policy based on that theory, as well as a corre- sponding limitation in research studies that test information-usefulness by assuming it to be synonymous with price-sensitivity. We draw implications for further research into the role of tacit knowledge in equity investment decision-making, and also into the effects of the principal–agent relationship between fund managers and their clients.

Selection rules for rovibronic transitions in symmetric top molecules

A simple diagrammatic rule is presented for determining the rotational selection rules governing transitions between any pair of vibronic states in electric dipole spectra of symmetric top molecules. The rule is useful in cases where degenerate vibronic levels with first-order Coriolis splittings occur, because it gives immediately the selection rule for the (+l) and (-l) components in any degenerate state. The rule is also helpful in determining the symmetry species and the effective zeta constants in overtone and combination levels involving degenerate vibrations. Particular attention is devoted to the conventions concerning the signs of zeta constants.

Raman selection rules for vibration-rotation transitions in symmetric top molecules

Symmetry restrictions on Raman selection rules can be obtained, quite generally, by considering a Raman allowed transition as the result of two successive dipole allowed transitions, and imposing the usual symmetry restrictions on the dipole transitions. This leads to the same results as the more familiar polarizability theory, but the vibration-rotation selection rules are easier to obtain by this argument. The selection rules for symmetric top molecules involving the (+l) and (-l) components of a degenerate vibrational level with first-order Coriolis splitting are derived in this paper. It is shown that these selection rules depend on the order of the highest-fold symmetry axis Cn, being different for molecules with n=3, n=4, or n ≧ 5; moreover the selection rules are different again for molecules belonging to the point groups Dnd with n even, and Sm with 1/2m even, for which the highest-fold symmetry axes Cn and Sm are related by m=2n. Finally it is shown that an apparent anomaly between the observed Raman and infra-red vibration-rotation spectra of the allene molecule is resolved when the correct selection rules are used, and a value for the A rotational constant of allene is derived without making use of the zeta sum rule.

Infrared and Raman selection rules for cyclopentane

Infra-red and Raman selection rules are obtained for the cyclopentane molecule, on the assumption that it has a free pseudo-rotation with a large potential hump at the D5h configuration. The selection rules obtained, which concern the vibrational, pseudo-rotational, and rotational quantum numbers, are summarized in tables 1, 2 and 3.

Assembly rules for protein networks derived from phylogenetic-statistical analysis of whole genomes

Background: We report an analysis of a protein network of functionally linked proteins, identified from a phylogenetic statistical analysis of complete eukaryotic genomes. Phylogenetic methods identify pairs of proteins that co-evolve on a phylogenetic tree, and have been shown to have a high probability of correctly identifying known functional links. Results: The eukaryotic correlated evolution network we derive displays the familiar power law scaling of connectivity. We introduce the use of explicit phylogenetic methods to reconstruct the ancestral presence or absence of proteins at the interior nodes of a phylogeny of eukaryote species. We find that the connectivity distribution of proteins at the point they arise on the tree and join the network follows a power law, as does the connectivity distribution of proteins at the time they are lost from the network. Proteins resident in the network acquire connections over time, but we find no evidence that 'preferential attachment' - the phenomenon of newly acquired connections in the network being more likely to be made to proteins with large numbers of connections - influences the network structure. We derive a 'variable rate of attachment' model in which proteins vary in their propensity to form network interactions independently of how many connections they have or of the total number of connections in the network, and show how this model can produce apparent power-law scaling without preferential attachment. Conclusion: A few simple rules can explain the topological structure and evolutionary changes to protein-interaction networks: most change is concentrated in satellite proteins of low connectivity and small phenotypic effect, and proteins differ in their propensity to form attachments. Given these rules of assembly, power law scaled networks naturally emerge from simple principles of selection, yielding protein interaction networks that retain a high-degree of robustness on short time scales and evolvability on longer evolutionary time scales.