Testing for bubbles in indirect property price cycles

Speculative bubbles are generated when investors include the expectation of the future price in their information set. Under these conditions, the actual market price of the security, that is set according to demand and supply, will be a function of the future price and vice versa. In the presence of speculative bubbles, positive expected bubble returns will lead to increased demand and will thus force prices to diverge from their fundamental value. This paper investigates whether the prices of UK equity-traded property stocks over the past 15 years contain evidence of a speculative bubble. The analysis draws upon the methodologies adopted in various studies examining price bubbles in the general stock market. Fundamental values are generated using two models: the dividend discount and the Gordon growth. Variance bounds tests are then applied to test for bubbles in the UK property asset prices. Finally, cointegration analysis is conducted to provide further evidence on the presence of bubbles. Evidence of the existence of bubbles is found, although these appear to be transitory and concentrated in the mid-to-late 1990s.

The cyclical relations between traded property stock prices and aggregate time-series

This paper examines the cyclical regularities of macroeconomic, financial and property market aggregates in relation to the property stock price cycle in the UK. The Hodrick Prescott filter is employed to fit a long-term trend to the raw data, and to derive the short-term cycles of each series. It is found that the cycles of consumer expenditure, total consumption per capita, the dividend yield and the long-term bond yield are moderately correlated, and mainly coincident, with the property price cycle. There is also evidence that the nominal and real Treasury Bill rates and the interest rate spread lead this cycle by one or two quarters, and therefore that these series can be considered leading indicators of property stock prices. This study recommends that macroeconomic and financial variables can provide useful information to explain and potentially to forecast movements of property-backed stock returns in the UK.

Individual assets, market structure and the drivers of return

Much UK research and market practice on portfolio strategy and performance benchmarking relies on a sector‐geography subdivision of properties. Prior tests of the appropriateness of such divisions have generally relied on aggregated or hypothetical return data. However, the results found in aggregate may not hold when individual buildings are considered. This paper makes use of a dataset of individual UK property returns. A series of multivariate exploratory statistical techniques are utilised to test whether the return behaviour of individual properties conforms to their a priori grouping. The results suggest strongly that neither standard sector nor regional classifications provide a clear demarcation of individual building performance. This has important implications for both portfolio strategy and performance measurement and benchmarking. However, there do appear to be size and yield effects that help explain return behaviour at the property level.

Working with legal pluralism: widowhood, property inheritance and poverty alleviation in urban Senegal

This article explores the role of women's inheritance and ownership of property in urban Senegal. It shows how being able to inherit and own property promotes the economic and emotional security of widows and their children in urban areas, and discusses the challenges posed by legal pluralism in working on poverty alleviation and social protection in the city.

The 'ratione temporis' elements of self-defence

This article focuses on one particular factor that is of crucial importance to all self-defence actions. It is a factor that is almost always present in the application and appraisal of the right, but one that is not always explicitly engaged with: time. There are various ratione temporis elements underpinning the lawful exercise of the right of self-defence, and questions related to the timing of both an attack being responded to in self-defence and the response itself are notably controversial. The self-defence timeline is therefore charted, and the key legal debates encountered along its trajectory are identified. In particular, there is a focus on three temporal ‘stages’ of the right of self-defence: (i) the much-debated question of preventative forms of self-defence (the ‘before’); (ii) the timeliness of a state's defensive action, or what is sometimes called the need for the response to be ‘immediate’ (the ‘during’); and (iii) the duration of self-defence actions, including the crucial issue of when they must end (the ‘after’). The aim of this article is not to break new substantive ground with regard to these ‘stages’ as such, but is, rather, to draw together the temporal strands of self-defence in a more focused manner than is often the case in the literature.

The persistence of distance: a gravity model of European cross-border real estate development flows

Purpose – This paper aims to investigate the scale and drivers of cross-border real estate development in Western Europe and Central and Eastern Europe. Design/methodology/approach – Placing cross-border real estate development within the framework of foreign direct investment (FDI), conceptual complexities in characterizing the notional real estate developer are emphasized. Drawing upon a transaction database, this paper proxies cross-border real estate development flows with asset sales by developers. Findings – Much higher levels of market penetration by international real estate developers are found in the less mature markets of Central and Eastern Europe. Analysis suggests a complex range of determinants with physical distance remaining a consistent barrier to cross-border development flows. Originality/value – This analysis adds significant value in terms of understanding cross-border real estate development flows. In this study, a detailed examination of the issues based on a rigorous empirical analysis through gravity modelling is offered. The gravity framework is one of the most confirmed empirical regularities in international economics and commonly applied to trade, FDI, migration, foreign portfolio investment inter alia. This paper assesses the extent to which it provides useful insights into the pattern of cross-border real estate development flows.

Working memory, reading ability and the effects of distance and typicality on anaphor resolution in children

We investigated the time course of anaphor resolution in children and whether this is modulated by individual differences in working memory and reading skill. The eye movements of 30 children (10-11 years) were monitored as they read short paragraphs in which (i) the semantic typicality of an antecedent and (ii) its distance in relation to an anaphor, were orthogonally manipulated. Children showed effects of distance and typicality on the anaphor itself, and also on the word to the right of the anaphor, suggesting that anaphoric processing begins immediately but continues after the eyes have left the anaphor. Furthermore, children showed no evidence of resolving anaphors in the most difficult condition (distant atypical antecedent), suggesting that anaphoric processing that is demanding may not occur online in children of this age. Finally, working memory capacity and reading comprehension skill affect the magnitude and time course of typicality and distance effects during anaphoric processing.

Liquidity and the drivers of search, due diligence and transaction times for UK commercial real estate investments

Trading commercial real estate involves a process of exchange that is costly and which occurs over an extended and uncertain period of time. This has consequences for the performance and risk of real estate investments. Most research on transaction times has occurred for residential rather than commercial real estate. We study the time taken to transact commercial real estate assets in the UK using a sample of 578 transactions over the period 2004 to 2013. We measure average time to transact from a buyer and seller perspective, distinguishing the search and due diligence phases of the process, and we conduct econometric analysis to explain variation in due diligence times between assets. The median time for purchase of real estate from introduction to completion was 104 days and the median time for sale from marketing to completion was 135 days. There is considerable variation around these times and results suggest that some of this variation is related to market state, type and quality of asset, and type of participants involved in the transaction. Our findings shed light on the drivers of liquidity at an individual asset level and can inform models that quantify the impact of uncertain time on market on real estate investment risk.

The horizontal spread of a vertical malady: cosmopolitanism and history in Pernambuco’s recent cinematic sensation

Brazil’s recent cinematic sensation, O som ao redor/Neighboring Sounds (Kleber Mendonça Filho, 2012), displays an effective integration of form and content, as exemplified by its vertical figuration that crystallizes the devastating effects of property development and global capitalism. This chapter will attempt to unravel a two-way drive within this vertical motif: a movement off the ground, resulting in global cosmopolitanism; and another into the ground, in search of the social history and film history at its base. As I hope to demonstrate, despite the characters’ late postmodernist disconnect from local context and history, O som ao redor offers a perspicacious insight into regional and national history that contributes an original and exciting addition to Brazilian and world cinema.