A three-regime model of speculative behaviour: modelling the evolution of the S&P 500 composite index

We examine whether a three-regime model that allows for dormant, explosive and collapsing speculative behaviour can explain the dynamics of the S&P 500. We extend existing models of speculative behaviour by including a third regime that allows a bubble to grow at a steady rate, and propose abnormal volume as an indicator of the probable time of bubble collapse. We also examine the financial usefulness of the three-regime model by studying a trading rule formed using inferences from it, whose use leads to higher Sharpe ratios and end of period wealth than from employing existing models or a buy-and-hold strategy.

Randomized controlled trial of full and brief cognitive-behaviour therapy and wait-list for paediatric obsessive-compulsive disorder

Background: Reviews and practice guidelines for paediatric obsessive-compulsive disorder (OCD) recommend cognitive-behaviour therapy (CBT) as the psychological treatment of choice, but note that it has not been sufficiently evaluated for children and adolescents and that more randomized controlled trials are needed. The aim of this trial was to evaluate effectiveness and optimal delivery of CBT, emphasizing cognitive interventions. Methods: A total of 96 children and adolescents with OCD were randomly allocated to the three conditions each of approximately 12 weeks duration: full CBT (average therapist contact: 12 sessions) and brief CBT (average contact: 5 sessions, with use of therapist-guided workbooks), and wait-list/delayed treatment. The primary outcome measure was the child version of the semi-structured interviewer-based Yale-Brown Obsessive Compulsive Scale. Clinical Trial registration: http://www.controlled-trials.com/ISRCTN/; unique identifier: ISRCTN29092580. Results: There was statistically significant symptomatic improvement in both treatment groups compared with the wait-list group, with no significant differences in outcomes between the two treatment groups. Controlled treatment effect sizes in intention-to-treat analyses were 2.2 for full CBT and 1.6 for brief CBT. Improvements were maintained at follow-up an average of 14 weeks later. Conclusions: The findings demonstrate the benefits of CBT emphasizing cognitive interventions for children and adolescents with OCD and suggest that relatively lower therapist intensity delivery with use of therapist-guided workbooks is an efficient mode of delivery.

Appraiser behaviour and appraisal smoothing: some qualitative and quantitative evidence

There is a substantial literature which suggests that appraisals are smoothed and lag the true level of prices. This study combines a qualitative interview survey of the leading fund manager/owners in the UK and their appraisers with a empirical study of the number of appraisals which change each month within the IPD Monthly Index. The paper concentrates on how the appraisal process operates for commercial property performance measurement purposes. The survey interviews suggest that periodic appraisal services are consolidating in fewer firms and, within these major firms, appraisers adopt different approaches to changing appraisals on a period by period basis, with some wanting hard transaction evidence while others act on "softer' signals. The survey also indicates a seasonal effect with greater effort and information being applied to annual and quarterly appraisals than monthly. The analysis of the appraisals within the Investment Property Databank Monthly Index confirms this effect with around 5% more appraisals being moved at each quarter day than the other months. January and August have significantly less appraisal changes than other months.

The cyclical behaviour of sector and regional diversification benefits: 1987-2002

This paper investigates the time series behaviour of the relative benefits of sector and regional diversification strategies, using the notion of cross-sectional dispersion introduced by Solnik and Roulet (2000). Using monthly data over the period 1987:1 to 2002:12, four sector and four regional classifications are examined in the UK. The results indicate that sector and regional dispersion indices are highly time varying and so dwarf any lower frequency cyclical components that may be present. Nonetheless, periods of high dispersion are closely followed by periods of low dispersion, suggestive of cyclical behaviour of sector and regional diversification benefits. Then, using the HP-filter we isolated the cyclical component of the various dispersion indices and found that the sector dispersion indices are generally above the regional dispersion indices. This implies that a sector diversification strategy is likely to offer greater risk reduction benefits than a regional diversification approach. Nonetheless, we find that in some periods, certain regional diversification strategies are of equal or greater benefit than certain sector approaches. The results also appear to be quite sensitive to the classifications of sectors and regions. Hence, the appropriate definition of sectors and regions can have important implications for sector and regional diversification strategies.

Behaviour and learning in completely autonomous mobile robots

A number of Intelligent Mobile Robots have been developed at the University of Reading. They are completely autonomous in that no umbilical cord attaches to them to extra power supplies or computer station: further, they are not radio controlled. In this paper, the robots are discussed, in their various forms, and the individual behaviours and characteristics which appear are considered.

Reducing contamination by exposure plus safety behaviour

Background and objectives: It has been proposed that the judicious use of safety behaviour can facilitate improvements in the acceptability of cognitive behaviour therapy (CBT). It was decided to explore the possibility of facilitating CBT by introducing a form of safety behaviour.We sought to assess the degree to which Exposure plus Safety Behaviour (E þ SB) is an effective intervention for contamination fears. Methods: A comparison was made between the effects of a control condition (Exposure and Response Prevention; ERP) and an experimental condition (Exposure plus Safety Behaviour; E þ SB) in which each exposure to a contaminant was followed by the use of a hygienic wipe in a sample of (n ¼ 80) undergraduate students. In session one, each participant touched a confirmed contaminant 20 times. After each exposure participants were asked to report their feelings of contamination, fear, disgust, and danger. In the second session, two weeks later, the same procedure was carried out for a further 16 trials. Results: The ERP and the E þ SB conditions both produced large, significant and stable reductions in contamination. Significant reductions in fear, danger and disgust were also reported in both conditions. Limitations: The treatment was provided to an analogue sample and over two sessions. Conclusions: The use of hygienic wipes, the safety behaviour used in this experiment, did not preclude significant reductions in contamination, disgust, fear and danger. If it is replicated and extended over a longer time-frame, this finding may enable practitioners to enhance the acceptability of cognitive behavioural treatments and boost their effectiveness.

Rational expectations? Developer behaviour and development cycles in the central London office market

Purpose – Expectations of future market conditions are acknowledged to be crucial for the development decision and hence for shaping the built environment. The purpose of this paper is to study the central London office market from 1987 to 2009 and test for evidence of rational, adaptive and naive expectations. Design/methodology/approach – Two parallel approaches are applied to test for either rational or adaptive/naive expectations: vector auto-regressive (VAR) approach with Granger causality tests and recursive OLS regression with one-step forecasts. Findings – Applying VAR models and a recursive OLS regression with one-step forecasts, the authors do not find evidence of adaptive and naïve expectations of developers. Although the magnitude of the errors and the length of time lags between market signal and construction starts vary over time and development cycles, the results confirm that developer decisions are explained, to a large extent, by contemporaneous and historic conditions in both the City and the West End, but this is more likely to stem from the lengthy design, financing and planning permission processes rather than adaptive or naive expectations. Research limitations/implications – More generally, the results of this study suggest that real estate cycles are largely generated endogenously rather than being the result of large demand shocks and/or irrational behaviour. Practical implications – Developers may be able to generate excess profits by exploiting market inefficiencies but this may be hindered in practice by the long periods necessary for planning and construction of the asset. Originality/value – This paper focuses the scholarly debate of real estate cycles on the role of expectations. It is also one of very few spatially disaggregate studies of the subject matter.