Capturing UK real estate volitility

Volatility, or the variability of the underlying asset, is one of the key fundamental components of property derivative pricing and in the application of real option models in development analysis. There has been relatively little work on volatility in real terms of its application to property derivatives and the real options analysis. Most research on volatility stems from investment performance (Nathakumaran & Newell (1995), Brown & Matysiak 2000, Booth & Matysiak 2001). Historic standard deviation is often used as a proxy for volatility and there has been a reliance on indices, which are subject to valuation smoothing effects. Transaction prices are considered to be more volatile than the traditional standard deviations of appraisal based indices. This could lead, arguably, to inefficiencies and mis-pricing, particularly if it is also accepted that changes evolve randomly over time and where future volatility and not an ex-post measure is the key (Sing 1998). If history does not repeat, or provides an unreliable measure, then estimating model based (implied) volatility is an alternative approach (Patel & Sing 2000). This paper is the first of two that employ alternative approaches to calculating and capturing volatility in UK real estate for the purposes of applying the measure to derivative pricing and real option models. It draws on a uniquely constructed IPD/Gerald Eve transactions database, containing over 21,000 properties over the period 1983-2005. In this first paper the magnitude of historic amplification associated with asset returns by sector and geographic spread is looked at. In the subsequent paper the focus will be upon model based (implied) volatility.

Systematic property risk: quantifying UK property betas 1983-2005

The increased frequency in reporting UK property performance figures, coupled with the acceptance of the IPD database as the market standard, has enabled property to be analysed on a comparable level with other more frequently traded assets. The most widely utilised theory for pricing financial assets, the Capital Asset Pricing Model (CAPM), gives market (systematic) risk, beta, centre stage. This paper seeks to measure the level of systematic risk (beta) across various property types, market conditions and investment holding periods. This paper extends the authors’ previous work on investment holding periods and how excess returns (alpha) relate to those holding periods. We draw on the uniquely constructed IPD/Gerald Eve transactions database, containing over 20,000 properties over the period 1983-2005. This research allows us to confirm our initial findings that properties held over longer periods perform in line with overall market performance. One implication of this is that over the long-term performance may be no different from an index tracking approach.

Holding periods and investment performance: analysing UK office returns 1983-2003

Drawing on a unique database of office properties constructed for Gerald Eve by IPD, this paper examines the holding periods of individual office properties sold between 1983 and 2003. It quantifies the holding periods of sold properties and examines the relationship between the holding period and investment performance. Across the range of holding periods, excess returns (performance relative to the market) are evenly distributed. There are as many winners as there are losers. The distribution of excess returns over different holding periods is widely spread with the risk of under-performance greater over short holding periods. Over the longer term, excess performance is confined to a narrow range and individual returns are more likely to perform in line with the market as a whole.

Using learning networks to understand complex systems: a case study of biological, geophysical and social research in the Amazon

Developing high-quality scientific research will be most effective if research communities with diverse skills and interests are able to share information and knowledge, are aware of the major challenges across disciplines, and can exploit economies of scale to provide robust answers and better inform policy. We evaluate opportunities and challenges facing the development of a more interactive research environment by developing an interdisciplinary synthesis of research on a single geographic region. We focus on the Amazon as it is of enormous regional and global environmental importance and faces a highly uncertain future. To take stock of existing knowledge and provide a framework for analysis we present a set of mini-reviews from fourteen different areas of research, encompassing taxonomy, biodiversity, biogeography, vegetation dynamics, landscape ecology, earth-atmosphere interactions, ecosystem processes, fire, deforestation dynamics, hydrology, hunting, conservation planning, livelihoods, and payments for ecosystem services. Each review highlights the current state of knowledge and identifies research priorities, including major challenges and opportunities. We show that while substantial progress is being made across many areas of scientific research, our understanding of specific issues is often dependent on knowledge from other disciplines. Accelerating the acquisition of reliable and contextualized knowledge about the fate of complex pristine and modified ecosystems is partly dependent on our ability to exploit economies of scale in shared resources and technical expertise, recognise and make explicit interconnections and feedbacks among sub-disciplines, increase the temporal and spatial scale of existing studies, and improve the dissemination of scientific findings to policy makers and society at large. Enhancing interaction among research efforts is vital if we are to make the most of limited funds and overcome the challenges posed by addressing large-scale interdisciplinary questions. Bringing together a diverse scientific community with a single geographic focus can help increase awareness of research questions both within and among disciplines, and reveal the opportunities that may exist for advancing acquisition of reliable knowledge. This approach could be useful for a variety of globally important scientific questions.

The Farm-Retail Price Spread in an Imperfectly Competitive Food Industry

Gardner's popular model of perfect competition in the marketing sector is extended to a conjectural-variations oligopoly with endogenous entry. Revising Gardner's comparative statics on the "farm-retail price ratio," tests of hypotheses about food industry conduct are derived. Using data from a recent article by Wohlgenant, which employs Gardner's framework, tests are made of the validity of his maintained hypothesis-that the food industries are perfectly competitive. No evidence is found of departures from competition in the output markets of the food industries of eight commodity groups: (a) beef and veal, (b) pork, (c) poultry, (d) eggs, (e) dairy, (f) processed fruits and vegetables, (g) fresh fruit, and (h) fresh vegetables.

Contesting Thistlewood: slavery, agency and the limits of representation

This piece is a contribution to the exhibition catalogue of Barbadian / Canadian artist Joscelyn Gardner's exhibition, 'Bleeding & Breeding' curated by Olexander Wlasenko, January 14-February 12, 2012 in the Station Gallery, Whitby, Ontario, Canada. The piece examines the ways in which Gardner's Creole Portraits II (2007) and Creole Portraits III (2009) issue a provocative and carefully crafted contestation to the journals of the slave-owner and amateur botanist Thomas Thistlewood. It argues that while Thistlewood’s journals make raced and gendered bodies seemingly available to knowledge, incorporating them within the colonial archive as signs of subjection, Gardener’s portraits disrupt these acts of history and knowledge. Her artistic response marks a radical departure from the significant body of scholarship that has drawn on the Thistlewood journals to date. Creatively contesting his narratives’ dispossession of Creole female subjects and yet aware of the problems of innocent recovery, her works style representations that retain the consciousness and effect of historical erasure. Through an oxymoronic aesthetic that assembles a highly crafted verisimilitude alongside the condition of invisibility and brings atrocity into the orbit of the aesthetic, these portraits force us to question what stakes are involved in bringing the lives of the enslaved and violated back into regimes of representation.

When do export subsidies have a redistributional role? Reply

Our differences are three. The first arises from the belief that "... a nonzero value for the optimally chosen policy instrument implies that the instrument is efficient for redistribution" (Alston, Smith, and Vercammen, p. 543, paragraph 3). Consider the two equations: (1) o* = f(P3) and (2) = -f(3) ++r h* (a, P3) representing the solution to the problem of maximizing weighted, Marshallian surplus using, simultaneously, a per-unit border intervention, 9, and a per-unit domestic intervention, wr. In the solution, parameter ot denotes the weight applied to producer surplus; parameter p denotes the weight applied to government revenues; consumer surplus is implicitly weighted one; and the country in question is small in the sense that it is unable to affect world price by any of its domestic adjustments (see the Appendix). Details of the forms of the functions f((P) and h(ot, p) are easily derived, but what matters in the context of Alston, Smith, and Vercammen's Comment is: Redistributivep referencest hatf avorp roducers are consistent with higher values "alpha," and whereas the optimal domestic intervention, 7r*, has both "alpha and beta effects," the optimal border intervention, r*, has only a "beta effect,"-it does not have a redistributional role. Garth Holloway is reader in agricultural economics and statistics, Department of Agricultural and Food Economics, School of Agriculture, Policy, and Development, University of Reading. The author is very grateful to Xavier Irz, Bhavani Shankar, Chittur Srinivasan, Colin Thirtle, and Richard Tiffin for their comments and their wisdom; and to Mario Mazzochi, Marinos Tsigas, and Cal Turvey for their scholarship, including help in tracking down a fairly complete collection of the papers that cite Alston and Hurd. They are not responsible for any errors or omissions. Note, in equation (1), that the border intervention is positive whenever a distortion exists because 8 > 0 implies 3 - 1 + 8 > 1 and, thus, f((P) > 0 (see Appendix). Using Alston, Smith, and Vercammen's definition, the instrument is now "efficient," and therefore has a redistributive role. But now, suppose that the distortion is removed so that 3 - 1 + 8 = 1, 8 = 0, and consequently the border intervention is zero. According to Alston, Smith, and Vercammen, the instrument is now "inefficient" and has no redistributive role. The reader will note that this thought experiment has said nothing about supporting farm incomes, and so has nothing whatsoever to do with efficient redistribution. Of course, the definition is false. It follows that a domestic distortion arising from the "excess-burden argument" 3 = 1 + 8, 8 > 0 does not make an export subsidy "efficient." The export subsidy, having only a "beta effect," does not have a redistributional role. The second disagreement emerges from the comment that Holloway "... uses an idiosyncratic definition of the relevant objective function of the government (Alston, Smith, and Vercammen, p. 543, paragraph 2)." The objective function that generates equations (1) and (2) (see the Appendix) is the same as the objective function used by Gardner (1995) when he first questioned Alston, Carter, and Smith's claim that a "domestic distortion can make a border intervention efficient in transferring surplus from consumers and taxpayers to farmers." The objective function used by Gardner (1995) is the same objective function used in the contributions that precede it and thus defines the literature on the debate about borderversus- domestic intervention (Streeten; Yeh; Paarlberg 1984, 1985; Orden; Gardner 1985). The objective function in the latter literature is the same as the one implied in another literature that originates from Wallace and includes most notably Gardner (1983), but also Alston and Hurd. Amer. J. Agr. Econ. 86(2) (May 2004): 549-552 Copyright 2004 American Agricultural Economics Association This content downloaded on Tue, 15 Jan 2013 07:58:41 AM All use subject to JSTOR Terms and Conditions 550 May 2004 Amer. J. Agr. Econ. The objective function in Holloway is this same objective function-it is, of course, Marshallian surplus.1 The third disagreement concerns scholarship. The Comment does not seem to be cognizant of several important papers, especially Bhagwati and Ramaswami, and Bhagwati, both of which precede Corden (1974, 1997); but also Lipsey and Lancaster, and Moschini and Sckokai; one important aspect of Alston and Hurd; and one extremely important result in Holloway. This oversight has some unfortunate repercussions. First, it misdirects to the wrong origins of intellectual property. Second, it misleads about the appropriateness of some welfare calculations. Third, it prevents Alston, Smith, and Vercammen from linking a finding in Holloway (pp. 242-43) with an old theorem (Lipsey and Lancaster) that settles the controversy (Alston, Carter, and Smith 1993, 1995; Gardner 1995; and, presently, Alston, Smith, and Vercammen) about the efficiency of border intervention in the presence of domestic distortions.

Safety and quality and stage of distribution

Let 0 denote the level of quality inherent in a food product that is delivered to some terminal market. In this paper, I characterize allocations over 0 and provide an economic rationale for regulating safety and quality standards in the food system. Zusman and Bockstael investigate the theoretical foundations for imposing standards and stress the importance of providing a tractable conceptual foundation. Despite a wealth of contributions that are mainly empirical (for reviews of these works see, respectively, Caswell and Antle), there have been relatively few attempts to model formally the linkages between farm and food markets when food quality and consumer safety are at issue. Here, I attempt to provide such a framework, building on key contributions in the theoretical literature and linking them in a simple model of quality determination in a vertically related marketing channel. The food-marketing model is due to Gardner. Spence provides a foundation for Pareto-improving intervention in a deterministic model of quality provision, and Leland, building on the classic paper by Akerlof, investigates licensing and minimum standards when the information structure is incomplete. Linking these ideas in a satisfactory model of the food markets is the main objective of the paper.

Molecular forms of porphobilinogen deaminase in acute intermittent porphyria. A study by Western immunoblotting

Acute intermittent porphyria is an inborn error of haem synthesis which is transmitted as a dominant character with variable phenotypic expression. The disorder is caused by a partial deficiency of porphobilinogen deaminase in all tissues so far studied. The nature of the enzymatic deficiency of porphobilinogen deaminase in haemolysates from patients with acute intermittent porphyria was examined by the use of monospecific antibody probes. In affected heterozygotes from three British pedigrees of diverse ancestry, the catalytic deficiency of porphobilinogen deaminase was accompanied by diminished enzyme protein, as determined by radial immunodiffusion. No evidence of functionally attenuated enzyme was demonstrable by kinetic studies. The molecular forms of the residual enzyme were investigated in red cell extracts and in lysed preparations of reticulocytes by a sensitive Western blotting procedure. This revealed the presence of reduced amounts of porphobilinogen deaminase polypeptide co-migrating with wild type enzyme (Mr approximately 40,000), and no evidence of variant forms in situ. The studies show that porphobilinogen deaminase deficiency in acute intermittent porphyria is commonly associated with a CRM-phenotype. The residual activity under these circumstances is thus related to expression of a single normal allele, since sensitive techniques detected neither aberrant nor degraded forms of the enzyme in erythroid tissues.