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.

Is there a gold social seal? The financial effects of additions to and deletions from social stock indices

This study investigates the financial effects of additions to and deletions from the most well-known social stock index: the MSCI KLD 400. Our study makes use of the unique setting that index reconstitution provides and allows us to bypass possible issues of endogeneity that commonly plague empirical studies of the link between corporate social and financial performance. By examining not only short-term returns but also trading activity, earnings per share, and long-term performance of stocks that are involved in these events, we bring forward evidence of a ‘social index effect’ where unethical transgressions are penalized more heavily than responsibility is rewarded. We find that the addition of a stock to the index does not lead to material changes in its market price, whereas deletions are accompanied by negative cumulative abnormal returns. Trading volumes for deleted stocks are significantly increased on the event date, while the operational performances of the respective firms deteriorate after their deletion from the social index.

Sox1-deficient mice suffer from epilepsy associated with abnormal ventral forebrain development and olfactory cortex hyperexcitability

Mutations in several classes of embryonically-expressed transcription factor genes are associated with behavioral disorders and epilepsies. However, there is little known about how such genetic and neurodevelopmental defects lead to brain dysfunction. Here we present the characterization of an epilepsy syndrome caused by the absence of the transcription factor SOX1 in mice. In vivo electroencephalographic recordings from SOX1 mutants established a correlation between behavioral changes and cortical output that was consistent with a seizure origin in the limbic forebrain. In vitro intracellular recordings from three major forebrain regions, neocortex, hippocampus and olfactory (piriform) cortex (OC) showed that only the OC exhibits abnormal enhanced synaptic excitability and spontaneous epileptiform discharges. Furthermore, the hyperexcitability of the OC neurons was present in mutants prior to the onset of seizures but was completely absent from both the hippocampus and neocortex of the same animals. The local inhibitory GABAergic neurotransmission remained normal in the OC of SOX1-deficient brains, but there was a severe developmental deficit of OC postsynaptic target neurons, mainly GABAergic projection neurons within the olfactory tubercle and the nucleus accumbens shell. Our data show that SOX1 is essential for ventral telencephalic development and suggest that the neurodevelopmental defect disrupts local neuronal circuits leading to epilepsy in the SOX1-deficient mice

Fast approximate calculation of multiply scattered lidar returns

An efficient method is described for the approximate calculation of the intensity of multiply scattered lidar returns. It divides the outgoing photons into three populations, representing those that have experienced zero, one, and more than one forward-scattering event. Each population is parameterized at each range gate by its total energy, its spatial variance, the variance of photon direction, and the covariance, of photon direction and position. The result is that for an N-point profile the calculation is O(N-2) efficient and implicitly includes up to N-order scattering, making it ideal for use in iterative retrieval algorithms for which speed is crucial. In contrast, models that explicitly consider each scattering order separately are at best O(N-m/m!) efficient for m-order scattering and often cannot be performed to more than the third or fourth order in retrieval algorithms. For typical cloud profiles and a wide range of lidar fields of view, the new algorithm is as accurate as an explicit calculation truncated at the fifth or sixth order but faster by several orders of magnitude. (C) 2006 Optical Society of America.

Under-investigation of older people with abnormal chest radiographs

Background: Whilst many authors have previously suggested that older people are under-represented in the investigation and management of lung cancer, few data are available as to the effect of age on the subsequent investigation and management of a patient with an abnormal chest radiograph. Methods: During a 3-month period in a university teaching hospital, all abnormal chest radiographs suggestive of a possible diagnosis of lung cancer were identified, and patients subsequently followed to determine investigation, management and date of death over a 5-year period. Results: Thirty-seven younger (less than or equal to69 years, median age 62 years) and 43 older patients ( 670 years, median age 80 years) were identified. Of the 80 patients with a possible bronchial carcinoma only 59% had a further chest radiograph performed. Bronchoscopy was performed in 34% of patients, but a biopsy of the lesion was undertaken in only 24% of patients. Sixteen of the 80 patients, irrespective of what investigations had been undertaken, were referred for an oncological or surgical opinion. During the study period ( 3 months), 24% of the patients died. At 6, 24 and 60 months, respectively, the total deaths were 40, 78 and 88%. Conclusion: Older patients compared with those aged less than 70 years were less likely to be investigated, further, were more likely to be managed differently (i.e., less aggressively) and more likely to die within each time interval. In more of the older group a presumed death certificate diagnosis of pneumonia was made. When an abnormal chest radiograph raises the possibility of an underlying bronchial carcinoma, the finding of this study suggests that an ageist attitude influences the subsequent management of some patients. Copyright (C) 2005 S. Karger AG, Basel.

Mind-reading difficulties in the siblings of people with Asperger's syndrome: evidence for a genetic influence in the abnormal development of a specific cognitive domain

Background: Previous research suggests that the phenotype associated with Asperger's syndrome (AS) includes difficulties in understanding the mental states of others, leading to difficulties in social communication and social relationships. It has also been suggested that the first-degree relatives of those with AS can demonstrate similar difficulties, albeit to a lesser extent. This study examined 'theory of mind' (ToM) abilities in the siblings of children with AS relative to a matched control group. Method: 2 7 children who had a sibling with AS were administered the children's version of the 'Eyes Test'(Baron-Cohen, Wheelwright, Stone, & Rutherford, 1999). The control group consisted of 27 children matched for age, sex, and a measure of verbal comprehension, and who did not have a family history of AS/autism. Results: A significant difference was found between the groups on the Eyes Test, the 'siblings' group showing a poorer performance on this measure of social cognition. The difference was more pronounced among female siblings. Discussion: These results are discussed in terms of the familial distribution of a neuro-cognitive profile associated with AS, which confers varying degrees of social handicap amongst first-degree relatives. The implication of this finding with regard to the autism/AS phenotype is explored, with some discussion of why this neuro-cognitive profile (in combination with corresponding strengths) may have an evolutionary imperative.

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.

The underlying return generating factors for REIT returns: an application of independent component analysis

Multi-factor approaches to analysis of real estate returns have, since the pioneering work of Chan, Hendershott and Sanders (1990), emphasised a macro-variables approach in preference to the latent factor approach that formed the original basis of the arbitrage pricing theory. With increasing use of high frequency data and trading strategies and with a growing emphasis on the risks of extreme events, the macro-variable procedure has some deficiencies. This paper explores a third way, with the use of an alternative to the standard principal components approach – independent components analysis (ICA). ICA seeks higher moment independence and maximises in relation to a chosen risk parameter. We apply an ICA based on kurtosis maximisation to weekly US REIT data using a kurtosis maximising algorithm. The results show that ICA is successful in capturing the kurtosis characteristics of REIT returns, offering possibilities for the development of risk management strategies that are sensitive to extreme events and tail distributions.

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.