Evolution of coronal mass ejection morphology with increasing heliocentric distance. II. In Situ observations

Interplanetary coronal mass ejections (ICMEs) are often observed to travel much faster than the ambient solar wind. If the relative speed between the two exceeds the fast magnetosonic velocity, then a shock wave will form. The Mach number and the shock standoff distance ahead of the ICME leading edge is measured to infer the vertical size of an ICME in a direction that is perpendicular to the solar wind flow. We analyze the shock standoff distance for 45 events varying between 0.5 AU and 5.5 AU in order to infer their physical dimensions. We find that the average ratio of the inferred vertical size to measured radial width, referred to as the aspect ratio, of an ICME is 2.8 ± 0.5. We also compare these results to the geometrical predictions from Paper I that forecast an aspect ratio between 3 and 6. The geometrical solution varies with heliocentric distance and appears to provide a theoretical maximum for the aspect ratio of ICMEs. The minimum aspect ratio appears to remain constant at 1 (i.e., a circular cross section) for all distances. These results suggest that possible distortions to the leading edge of ICMEs are frequent. But, these results may also indicate that the constants calculated in the empirical relationship correlating the different shock front need to be modified; or perhaps both distortions and a change in the empirical formulae are required.

Corporate social performance and stock returns: UK evidence from disaggregate measures

This study examines the relation between corporate social performance and stock returns in the UK. We closely evaluate the interactions between social and financial performance with a set of disaggregated social performance indicators for environment, employment, and community activities instead of using an aggregate measure. While scores on a composite social performance indicator are negatively related to stock returns, we find the poor financial reward offered by such firms is attributable to their good social performance on the environment and, to a lesser extent, the community aspects. Considerable abnormal returns are available from holding a portfolio of the socially least desirable stocks. These relationships between social and financial performance can be rationalized by multi-factor models for explaining the cross-sectional variation in returns, but not by industry effects.

An analysis of commercial real estate returns: is there a smoothing puzzle?

In this paper we investigate the commonly used autoregressive filter method of adjusting appraisal-based real estate returns to correct for the perceived biases induced in the appraisal process. Since the early work by Geltner (1989), many papers have been written on this topic but remarkably few have considered the relationship between smoothing at the individual property level and the amount of persistence in the aggregate appraised-based index. To investigate this issue in more detail we analyse a sample of individual property level appraisal data from the Investment Property Database (IPD). We find that commonly used unsmoothing estimates overstate the extent of smoothing that takes place at the individual property level. There is also strong support for an ARFIMA representation of appraisal returns.

The impact of country risk on international real estate returns

Commercial real estate investors have well-established methods to assess the risks of a property investment in their home country. However, when the investment decision is overseas another dimension of uncertainty overlays the analysis. This additional dimension, typically called country risk, encompasses the uncertainty of achieving expected financial results solely due to factors relating to the investment’s location in another country. However, very little has been done to examine the effects of country risk on international real estate returns, even though in international investment decisions considerations of country risk dominate asset investment decisions. This study extends the literature on international real estate diversification by empirically estimating the impact of country risk, as measured by Euromoney, on the direct real estate returns of 15 countries over the period 1998-2004, using a pooled regression analysis approach. The results suggest that country risk data may help investor’s in their international real estate decisions since the country risk data shows a significant and consistent impact on real estate return performance.

Property funds: how much diversification is enough?

t is well known that when assets are randomly-selected and combined in equal proportions in a portfolio, the risk of the portfolio declines as the number of different assets increases without affecting returns. In other words, increasing portfolio size should improve the risk/return trade-off compared with a portfolio of asset size one. Therefore, diversifying among several property funds may be a better alternative for investors compared to holding only one property fund. Nonetheless, it also well known that with naïve diversification although risk always decreases with portfolio size, it does so at a decreasing rate so that at some point the reduction in portfolio risk, from adding another fund, becomes negligible. Based on this fact, a reasonable question to ask is how much diversification is enough, or in other words, how many property funds should be included in a portfolio to minimise return volatility.

Real estate portfolio size and risk reduction

The reduction of portfolio risk is important to all investors but is particularly important to real estate investors as most property portfolios are generally small. As a consequence, portfolios are vulnerable to a significant risk of under-performing the market, or a target rate of return and so investors may be exposing themselves to greater risk than necessary. Given the potentially higher risk of underperformance from owning only a few properties, we follow the approach of Vassal (2001) and examine the benefits of holding more properties in a real estate portfolio. Using Monte Carlo simulation and the returns from 1,728 properties in the IPD database, held over the 10-year period from 1995 to 2004, the results show that increases in portfolio size offers the possibility of a more stable and less volatile return pattern over time, i.e. down-side risk is diminished with increasing portfolio size. Nonetheless, increasing portfolio size has the disadvantage of restricting the probability of out-performing the benchmark index by a significant amount. In other words, although increasing portfolio size reduces the down-side risk in a portfolio, it also decreases its up-side potential. Be that as it may, the results provide further evidence that portfolios with large numbers of properties are always preferable to portfolios of a smaller size.

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.

The impact of 9/11 on US REIT returns: fundamental or financial?

Following the attack on the World Trade Center on 9/11 volatility of daily returns of the US stock market rose sharply. This increase in volatility may reflect fundamental changes in the economic determinants of prices such as expected earnings, interest rates, real growth and inflation. Alternatively, the increase in volatility may simply reflect the effects of increased uncertainty in the financial markets. This study therefore sets out to determine if the effects of the attack on the World Trade Center on 9/11 had a fundamental or purely financial impact on US real estate returns. In order to do this we compare pre- and post-9/11 crisis returns for a number of US REIT indexes using an approach suggested by French and Roll (1986), as extended by Tuluca et al (2003). In general we find no evidence that the effects of 9/11 had a fundamental effect on REIT returns. In other words, we find that the effect of the attack on the World Trade Center on 9/11 had only a financial effect on REIT returns and therefore was transitory.

Impact of increasing resolution and a warmer climate on extreme weather from NH extra-tropical cyclones

The effect of a warmer climate on the properties of extra-tropical cyclones is investigated using simulations of the ECHAM5 global climate model at resolutions of T213 (60 km) and T319 (40 km). Two periods representative of the end of the 20th and 21st centuries are investigated using the IPCC A1B scenario. The focus of the paper is on precipitation for the NH summer and winter seasons, however results from vorticity and winds are also presented. Similar number of events are identified at both resolutions. There are, however, a greater number of extreme precipitation events in the higher reso- lution run. The difference between maximum intensity distributions are shown to be statistically significant using a Kolmogorov-Smirnov test. A Generalised Pareto Distribution is used to analyse changes in extreme precipitation and wind events. In both resolutions, there is an increase in the number of ex- treme precipitation events in a warmer climate for all seasons, together with a reduction in return period. This is not associated with any increased verti- cal velocity, or with any increase in wind intensity in the winter and spring. However, there is an increase in wind extremes in the summer and autumn associated with tropical cyclones migrating into the extra-tropics.

International evidence on the predictability of returns to securitized real estate assets: econometric models versus neural networks

The performance of various statistical models and commonly used financial indicators for forecasting securitised real estate returns are examined for five European countries: the UK, Belgium, the Netherlands, France and Italy. Within a VAR framework, it is demonstrated that the gilt-equity yield ratio is in most cases a better predictor of securitized returns than the term structure or the dividend yield. In particular, investors should consider in their real estate return models the predictability of the gilt-equity yield ratio in Belgium, the Netherlands and France, and the term structure of interest rates in France. Predictions obtained from the VAR and univariate time-series models are compared with the predictions of an artificial neural network model. It is found that, whilst no single model is universally superior across all series, accuracy measures and horizons considered, the neural network model is generally able to offer the most accurate predictions for 1-month horizons. For quarterly and half-yearly forecasts, the random walk with a drift is the most successful for the UK, Belgian and Dutch returns and the neural network for French and Italian returns. Although this study underscores market context and forecast horizon as parameters relevant to the choice of the forecast model, it strongly indicates that analysts should exploit the potential of neural networks and assess more fully their forecast performance against more traditional models.

Serial persistence in individual real estate returns in the UK

Persistence of property returns is a topic of perennial interest to fund managers as it suggests that choosing those properties that will perform well in the future is as simple as looking at those that performed well in the past. Consequently, much effort has been expended to determine if such a rule exists in the real estate market. This paper extends earlier studies in US, Australian, and UK markets in two ways. First, this study applies the same methodology originally used in Young and Graff (1996) making the results directly comparable with those in the US and Australian property markets. Second, this study uses a much longer and larger database covering all commercial property data available from the Investment Property Databank (IPD), for the years 1981 to 2002 for as many as 216,758 individual property returns. While the performance results of this study mimic the US and Australian results of greater persistence in the extreme first and fourth quartiles, they also evidence persistence in the moderate second and third quartiles, a notable departure from previous studies. Likewise patterns across property type, location, time, and holding period are remarkably similar leading to the conjecture that behaviors in the practice of commercial real estate investment management are themselves deeply rooted and persistent and perhaps influenced for good or ill by agency effects