The impact of news on measures of undiversifiable risk: evidence from the UK stock market

Using UK equity index data, this paper considers the impact of news on time varying measures of beta, the usual measure of undiversifiable risk. The empirical model implies that beta depends on news about the market and news about the sector. The asymmetric response of beta to news about the market is consistent across all sectors considered. Recent research is divided as to whether abnormalities in equity returns arise from changes in expected returns in an efficient market or over-reactions to new information. The evidence suggests that such abnormalities may be due to changes in expected returns caused by time-variation and asymmetry in beta.

Persistence of UK Real Estate returns: a Markov chain analysis

The persistence of investment performance is a topic of perennial interest to investors. Efficient Markets theory tells us that past performance can not be used to predict future performance yet investors appear to be influenced by the historical performance in making their investment allocation decisions. The problem has been of particular interest to investors in real estate; not least because reported returns from investment in real estate are serially correlated thus implying some persistence in investment performance. This paper applies the established approach of Markov Chain analysis to investigate the relationship between past and present performance of UK real estate over the period 1981 to 1996. The data are analysed by sector, region and size. Furthermore some variations in investment performance classification are reported and the results are shown to be robust.

Information and efficiency: goal arrival in soccer betting

An efficient market incorporates news into prices immediately and fully. Tests for efficiency in financial markets have been undermined by information leakage. We test for efficiency in sports betting markets – real-world markets where news breaks remarkably cleanly. Applying a novel identification to high-frequency data, we investigate the reaction of prices to goals scored on the ‘cusp’ of half-time. This strategy allows us to separate the market's response to major news (a goal), from its reaction to the continual flow of minor game-time news. On our evidence, prices update swiftly and fully.

Valuing for fair rents

'Fair rents' were first introduced in the Rent Acts 1965, to provide a system of rent regulation and residential security of tenure. This research into valuing for fair rents finds practices that are confused, misguided and inconsistent between different parts of the country. A more rational approach to valuation is illustrated through worked valuation examples, but the report recommends other more radical changes to the fair rent system. The study is based on a thorough review and critical analysis of the legislative background, case law, housing market theory and valuation practice. Case studies of fair rent appeals to rent assessment panels are used to explore valuation practice, including implications for the Maximum Fair Rent Order 1999. As a case study of housing regulation and a practical guide to valuing fair rents, the report makes essential reading for valuation practitioners, regulated tenants and landlords, members of the rent service and housing policy makers.

Implementation rules to bridge the theory/practice divide in market segmentation

Despite an extensive market segmentation literature, applied academic studies which bridge segmentation theory and practice remain a priority for researchers. The need for studies which examine the segmentation implementation barriers faced by organisations is particularly acute. We explore segmentation implementation through the eyes of a European utilities business, by following its progress through a major segmentation project. The study reveals the character and impact of implementation barriers occurring at different stages in the segmentation process. By classifying the barriers, we develop implementation "rules" for practitioners which are designed to minimise their occurrence and impact. We further contribute to the literature by developing a deeper understanding of the mechanisms through which these implementation rules can be applied.

Revisiting the 'modern' multinational enterprise theory: an emerging-market multinational perspective

Using Triad-based multinational enterprises as their empirical setting, influential scholars in international management uncovered key organizational characteristics needed to create globally integrated and locally responsive multinationals. They proposed a “modern” theory of multinationals' organization (Hedlund, 1994). But recently, a new generation of multinationals from emerging markets has appeared. Little is known about their organizational choices and some scholars even doubt that they leverage organizational capabilities altogether. Does the “modern” theory still hold in their case? This exploratory study of three emerging-market multinationals (EMNEs) discloses that for reasons related to their origin in emerging economies and to the competitive specificities of these economies, EMNEs approach the global and local conundrum in ways which are both similar – and vastly different – from recommendations of the “modern” theory. We inductively develop a new theory that accounts for the evolution of organizational capabilities in EMNEs to reconcile global integration and local responsiveness. We discuss its implications for the executives of both emerging and Triad-based multinationals.

The determinants of a cross market arbitrage opportunity: theory and evidence for the European bond market

This paper examines the determinants of cross-platform arbitrage profits. We develop a structural model that enables us to decompose the likelihood of an arbitrage opportunity into three distinct factors: the fixed cost to trade the opportunity, the level at which one of the platforms delays a price update and the impact of the order flow on the quoted prices (inventory and asymmetric information effects). We then investigate the predictions from the theoretical model for the European Bond market with the estimation of a probit model. Our main finding is that the results found in the empirical part corroborate strongly the predictions from the structural model. The event of a cross market arbitrage opportunity has a certain degree of predictability where an optimal ex ante scenario is represented by a low level of spreads on both platforms, a time of the day close to the end of trading hours and a high volume of trade.

Features of the Atlantic diet and its healthiness: Theory and evidence from social science

In order to understand diets, why and how they change and can be influenced, it is important to understand how food choices are made. The has been the subject of, considerable study within many of the social science disciplines and the humanities. The paper draws on the theoretical and empirical work of psychologists, sociologists, economists, market researchers, anthropologists, geographers and historians to understand better the forces behind food choice, derive some general empirical messages from the literature, to shed light on food choice in a European context and to address the question of whether there is, or has been, a recognisably Atlantic diet. The paper proceeds to analyse the characteristics of the food consumption patterns in the Atlantic diet countries, examines whether their food consumption patterns are homogenous (i.e. similar across the countries of this group), whether they are specific (i.e. different from the ones in other country groups) and finally evaluates the nutritional composition of the Atlantic diet against the WHO/FAO recommendations for a healthy and wholesome diet.

Innovative approach to building systems integration problems: Using systems theory, technological forecasting and scenario planning

Building services are worth about 2% GDP and are essential for the effective and efficient operations of the building. It is increasingly recognised that the value of a building is related to the way it supports the client organisation’s ongoing business operations. Building services are central to the functional performance of buildings and provide the necessary conditions for health, well-being, safety and security of the occupants. They frequently comprise several technologically distinct sub-systems and their design and construction requires the involvement of numerous disciplines and trades. Designers and contractors working on the same project are frequently employed by different companies. Materials and equipment is supplied by a diverse range of manufacturers. Facilities managers are responsible for operation of the building service in use. The coordination between these participants is crucially important to achieve optimum performance, but too often is neglected. This leaves room for serious faults. The need for effective integration is important. Modern technology offers increasing opportunities for integrated personal-control systems for lighting, ventilation and security as well as interoperability between systems. Opportunities for a new mode of systems integration are provided by the emergence of PFI/PPP procurements frameworks. This paper attempts to establish how systems integration can be achieved in the process of designing, constructing and operating building services. The essence of the paper therefore is to envisage the emergent organisational responses to the realisation of building services as an interactive systems network.

An efficient low power FFT implementation for multiband full-rate ultra-wideband (UWB) receivers

This paper discusses the design, implementation and synthesis of an FFT module that has been specifically optimized for use in the OFDM based Multiband UWB system, although the work is generally applicable to many other OFDM based receiver systems. Previous work has detailed the requirements for the receiver FFT module within the Multiband UWB ODFM based system and this paper draws on those requirements coupled with modern digital architecture principles and low power design criteria to converge on our optimized solution. The FFT design obtained in this paper is also applicable for implementation of the transmitter IFFT module therefore only needing one FFT module for half-duplex operation. The results from this paper enable the baseband designers of the 200Mbit/sec variant of Multiband UWB systems (and indeed other OFDM based receivers) using System-on-Chip (SoC), FPGA and ASIC technology to create cost effective and low power solutions biased toward the competitive consumer electronics market.

SORMA - business cases for an open grid market: concept and implementation

Economic mechanisms enhance technological solutions by setting the right incentives to reveal information about demand and supply accurately. Market or pricing mechanisms are ones that foster information exchange and can therefore attain efficient allocation. By assigning a value (also called utility) to their service requests, users can reveal their relative urgency or costs to the service. The implementation of theoretical sound models induce further complex challenges. The EU-funded project SORMA analyzes these challenges and provides a prototype as a proof-of-concept. In this paper the approach within the SORMA-project is described on both conceptual and technical level.

An Efficient Parameterization of Dynamic Neural Networks for Nonlinear System Identification

Dynamic neural networks (DNNs), which are also known as recurrent neural networks, are often used for nonlinear system identification. The main contribution of this letter is the introduction of an efficient parameterization of a class of DNNs. Having to adjust less parameters simplifies the training problem and leads to more parsimonious models. The parameterization is based on approximation theory dealing with the ability of a class of DNNs to approximate finite trajectories of nonautonomous systems. The use of the proposed parameterization is illustrated through a numerical example, using data from a nonlinear model of a magnetic levitation system.