Non-normal real estate return distributions by property type in the UK

Investment risk models with infinite variance provide a better description of distributions of individual property returns in the IPD UK database over the period 1981 to 2003 than normally distributed risk models. This finding mirrors results in the US and Australia using identical methodology. Real estate investment risk is heteroskedastic, but the characteristic exponent of the investment risk function is constant across time – yet it may vary by property type. Asset diversification is far less effective at reducing the impact of non‐systematic investment risk on real estate portfolios than in the case of assets with normally distributed investment risk. The results, therefore, indicate that multi‐risk factor portfolio allocation models based on measures of investment codependence from finite‐variance statistics are ineffective in the real estate context

Individual assets, market structure and the drivers of return

Much prior research on the structure and performance of UK real estate portfolios has relied on aggregated measures for sector and region. For these groupings to have validity, the performance of individual properties within each group should be similar. This paper analyses a sample of 1,200 properties using multiple discriminant analysis and cluster analysis techniques. It is shown that conventional property type and spatial classifications do not capture the variation in return behaviour at the individual building level. The major feature is heterogeneity - but there may be distinctions between growth and income properties and between single and multi-let properties that could help refine portfolio structures.

Back from beyond bid-ask spread: estimating liquidity in international markets

Research on the topic of liquidity has greatly benefited from the improved availability of data. Researchers have addressed questions regarding the factors that influence bid-ask spreads and the relationship between spreads and risk, return and liquidity. Intra-day data have been used to measure the effective spread and researchers have been able to refine the concepts of liquidity to include the price impact of transactions on a trade-by-trade analysis. The growth in the creation of tax-transparent securities has greatly enhanced the visibility of securitized real estate, and has naturally led to the question of whether the increased visibility of real estate has caused market liquidity to change. Although the growth in the public market for securitized real estate has occurred in international markets, it has not been accompanied by universal publication of transaction data. Therefore this paper develops an aggregate daily data-based test for liquidity and applies the test to US data in order to check for consistency with the results of prior intra-day analysis. If the two approaches produce similar results, we can apply the same technique to markets in which less detailed data are available and offer conclusions on the liquidity of a wider set of markets.

The effect of asymmetries on stock index return value-at-risk estimates

It is widely accepted that equity return volatility increases more following negative shocks rather than positive shocks. However, much of value-at-risk (VaR) analysis relies on the assumption that returns are normally distributed (a symmetric distribution). This article considers the effect of asymmetries on the evaluation and accuracy of VaR by comparing estimates based on various models.

Non-normal real estate return distributions by property type in the U.K.

Investment risk models with infinite variance provide a better description of distributions of individual property returns in the IPD database over the period 1981 to 2003 than Normally distributed risk models, which mirrors results in the U.S. and Australia using identical methodology. Real estate investment risk is heteroscedastic, but the Characteristic Exponent of the investment risk function is constant across time yet may vary by property type. Asset diversification is far less effective at reducing the impact of non-systematic investment risk on real estate portfolios than in the case of assets with Normally distributed investment risk. Multi-risk factor portfolio allocation models based on measures of investment codependence from finite-variance statistics are ineffectual in the real estate context.

The return due to diversification of real estate to the US mixed-asset portfolio

Booth and Fama (1992) observe that the compound return and so the terminal wealth of a portfolio is greater than the weighted average of the compound returns of the individual investments, a difference referred to as the return due to diversification (RDD). Thus assets that offer high RDD should be particularly attractive investments. This paper test the proposition that US direct real estate is such an asset class using annual data over the period 1951-2001. The results show that adding real estate to an existing mixed-asset portfolio increases the compound return and so the terminal wealth of the fund. However, the results are dependent on the percentage allocation to real estate and the asset class replaced.

Return of the 'Angry Woman': authenticating female physical action in contemporary cinema

In 1999, Elizabeth Hills pointed up the challenges that physically active women on film still posed, in cultural terms, and in relation to certain branches of feminist theory . Since then, a remarkable number of emphatically active female heroes have appeared on screen, from 'Charlie’s Angels' to 'Resident Evil', 'Aeon Flux', and the 'Matrix' and 'X-Men' trilogies. Nevertheless, in a contemporary Western culture frequently characterised as postfeminist, these seem to be the ‘acceptable face’ – and body – of female empowerment: predominantly white, heterosexual, often scantily clad, with the traditional hero’s toughness and resolve re-imagined in terms of gender-biased notions of decorum: grace and dignity alongside perfect hair and make-up, and a body that does not display unsightly markers of physical exertion. The homogeneity of these representations is worth investigating in relation to critical claims that valorise such air-brushed, high-kicking 'action babes' for their combination of sexiness and strength, and the feminist and postfeminist discourses that are refracted through such readings. Indeed, this arguably ‘safe’ set of depictions, dovetailing so neatly with certain postfeminist notions of ‘having it all’, suppresses particular kinds of spectacles in relation to the active female body: images of physical stress and extension, biological consequences of violence and dangerous motivations are all absent. I argue that the untidy female exertions refused in popular “action babe” representations are now erupting into view in a number of other contemporaneous movies – 'Kill Bill' Vols 1 & 2, 'Monster', and 'Hard Candy' – that mark the return of that which is repressed in the mainstream vision of female power – that is, a more viscerally realistic physicality, rage and aggression. As such, these films engage directly with the issue of how to represent violent female agency. This chapter explores what is at stake at a representational level and in terms of spectatorial processes of identification in the return of this particularly visceral rendering of the female avenger.

Fruit and vegetables, and the role they have played in determining the EU’s aggregate measurement of support

In its periodic declarations of domestic support to the WTO, the EU has progressively reduced its amber-box declarations in line with its changing system of farm support. Surprisingly, however, in 2007/08 it managed to more than halve its amber box compared with that of the previous year, easily achieving the reduction targets being touted in the Doha Round. This was largely due to a change in the calculations for fresh fruits and vegetables. These had been linked to the entry price system, which was not affected by the 2008 fruit and vegetables reform. Why the EU chose to make this change during the ongoing Doha Round negotiations remains unclear.

Diaspora return of transnational migrants to Trinidad and Tobago: the additional contributions of social remittances

Current enthusiasm among development stakeholders for the enticement and recruitment ‘back home’ of skilled Diaspora migrants has predominantly revolved around how human capital gains and transfers of capital, knowledge, technical skills and workplace entrepreneurialism and innovation can be facilitated. In this article, we widen the conceptual basis of this dimension of the migration–development nexus, by bringing the additional contributions of the social remittances that return migrants offer, and practice, into the mix. As evidence, the article examines how and why a sample of ‘middling’1 Trinidadian transnational professionals engage in social development activities and why experiences vary widely on their return. Their views are appraised through the verbal optic of their narratives, which they shared with us during in-depth interviews. Several among these Diaspora returnees appear to be agents for the diffusion and infusion of social capital and non-monetary, social remittances in the homeland to which they have returned in mid-life and mid-career. Others are disappointed, or frustrated, and have their hopes dashed, leading to thoughts of re-migration, or re-return. Despite such difficulties, we find that family belonging and national pride strengthens many of these return migrants’ development potential through their deeply felt commitments to local ‘capacity-building’.