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

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.

Are property prices non-linear? An investigation of the behaviour of US REITs and UK property company shares

Linear models of market performance may be misspecified if the market is subdivided into distinct regimes exhibiting different behaviour. Price movements in the US Real Estate Investment Trusts and UK Property Companies Markets are explored using a Threshold Autoregressive (TAR) model with regimes defined by the real rate of interest. In both US and UK markets, distinctive behaviour emerges, with the TAR model offering better predictive power than a more conventional linear autoregressive model. The research points to the possibility of developing trading rules to exploit the systematically different behaviour across regimes.

A TVD finite difference scheme with non-uniform meshes and without upstream weighting

We present a finite difference scheme, with the TVD (total variation diminishing) property, for scalar conservation laws. The scheme applies to non-uniform meshes, allowing for variable mesh spacing, and is without upstream weighting. When applied to systems of conservation laws, no scalar decomposition is required, nor are any artificial tuning parameters, and this leads to an efficient, robust algorithm.

Pricing the options inherent in leased commercial property: a UK case study

This paper sets out the findings of a group of research and development projects carried out at the Department of Real Estate & Planning at the University of Reading and at Oxford Property Systems over the period 1999 – 2003. The projects have several aims: these are to identify the fundamental drivers of the pricing of different lease terms in the UK property sector; to identify current and best market practice and uncover the main variations in lease terms; to identify key issues in pricing lease terms; and to develop a model for the pricing of rent under a variety of lease variations. From the landlord’s perspective, the main factors driving the required ‘compensation’ for a lease term amendment include expected rental volatility, expected probability of tenant vacation, and the expected costs of tenant vacation. These data are used in conjunction with simulation technology to reflect the options inherent in certain lease types to explore the required rent adjustment. The resulting cash flows have interesting qualities which illustrate the potential importance of option pricing in a non-complex and practical way.

Community based ecotourism as a panacea for protected areas: the use of common property theory in its analysis and development

Tourism is the worlds largest employer, accounting for 10% of jobs worldwide (WTO, 1999). There are over 30,000 protected areas around the world, covering about 10% of the land surface(IUCN, 2002). Protected area management is moving towards a more integrated form of management, which recognises the social and economic needs of the worlds finest areas and seeks to provide long term income streams and support social cohesion through active but sustainable use of resources. Ecotourism - 'responsible travel to natural areas that conserves the environment and improves the well- being of local people' (The Ecotourism Society, 1991) - is often cited as a panacea for incorporating the principles of sustainable development in protected area management. However, few examples exist worldwide to substantiate this claim. In reality, ecotourism struggles to provide social and economic empowerment locally and fails to secure proper protection of the local and global environment. Current analysis of ecotourism provides a useful checklist of interconnected principles for more successful initiatives, but no overall framework of analysis or theory. This paper argues that applying common property theory to the application of ecotourism can help to establish more rigorous, multi-layered analysis that identifies the institutional demands of community based ecotourism (CBE). The paper draws on existing literature on ecotourism and several new case studies from developed and developing countries around the world. It focuses on the governance of CBE initiatives, particularly the interaction between local stakeholders and government and the role that third party non-governmental organisations can play in brokering appropriate institutional arrangements. The paper concludes by offering future research directions."

A data framework for measuring the energy consumption of the non-domestic building stock

The transition to a low-carbon economy urgently demands better information on the drivers of energy consumption. UK government policy has prioritized energy efficiency in the built stock as a means of carbon reduction, but the sector is historically information poor, particularly the non-domestic building stock. This paper presents the results of a pilot study that investigated whether and how property and energy consumption data might be combined for non-domestic energy analysis. These data were combined in a ‘Non-Domestic Energy Efficiency Database’ to describe the location and physical attributes of each property and its energy consumption. The aim was to support the generation of a range of energy-efficiency statistics for the industrial, commercial and institutional sectors of the non-domestic building stock, and to provide robust evidence for national energy-efficiency and carbon-reduction policy development and monitoring. The work has brought together non-domestic energy data, property data and mapping in a ‘data framework’ for the first time. The results show what is possible when these data are integrated and the associated difficulties. A data framework offers the potential to inform energy-efficiency policy formation and to support its monitoring at a level of detail not previously possible.

Spatial and temporal modeling of community non-timber forest extraction

This paper examines the interaction of spatial and dynamic aspects of resource extraction from forests by local people. Highly cyclical and varied across space and time, the patterns of resource extraction resulting from the spatial–temporal model bear little resemblance to the patterns drawn from focusing either on spatial or temporal aspects of extraction alone. Ignoring this variability inaccurately depicts villagers’ dependence on different parts of the forest and could result in inappropriate policies. Similarly, the spatial links in extraction decisions imply that policies imposed in one area can have unintended consequences in other areas. Combining the spatial–temporal model with a measure of success in community forest management—the ability to avoid open-access resource degradation—characterizes the impact of incomplete property rights on patterns of resource extraction and stocks.

Analyzing the performance of non-listed real estate funds: an panel data analysis

The rapid growth of non-listed real estate funds over the last several years has contributed towards establishing this sector as a major investment vehicle for gaining exposure to commercial real estate. Academic research has not kept up with this development, however, as there are still only a few published studies on non-listed real estate funds. This paper aims to identify the factors driving the total return over a seven-year period. Influential factors tested in our analysis include the weighted underlying direct property returns in each country and sector as well as fund size, investment style gearing and the distribution yield. Furthermore, we analyze the interaction of non-listed real estate funds with the performance of the overall economy and that of competing asset classes and found that lagged GDP growth and stock market returns as well as contemporaneous government bond rates are significant and positive predictors of annual fund performance.

Fixing the currency: analysing the implications for property investment performance

This paper analyses the historic effects of exchange rate movements on returns, risk and diversification of office markets within the Euro zone in order to gain insights into the investment consequences of conversion to a fixed rate currency regime. The data used in the study represents annual office rental growth rates for 22 European cities from nine European Union countries between 1985 and 1996. Relative performance is reported in terms of domestic currency and in terms of deutsche marks. The evidence presented suggests that Euro zone property investors in ‘southern’ countries are now protected from short term jump risk associated with flexible peg currency arrangements and medium/long-term currency volatility. Historically exchange rate movements have produced decreases in returns and increases in volatility. For northern ‘bloc’ cities, the effects of fixing the exchange rate are minimal. For these cities, national exchange rate fluctuations against the deutsche mark have been minor and the resultant implications for property risk and return to non-domestic SCA investors have been negligible. Moreover, although previous research would suggest that the effect of currency volatility is to decrease market correlation, this cannot be observed within the Euro zone.

Property company performance and real interest rates: a regime-switching approach

Linear models of property market performance may be misspecified if there exist distinct states where the market drivers behave in different ways. This paper examines the applicability of non-linear regime-based models. A Self Exciting Threshold Autoregressive (SETAR) model is applied to property company share data, using the real rate of interest to define regimes. Distinct regimes appear exhibiting markedly different market behaviour. The model both casts doubt on the specification of conventional linear models and offers the possibility of developing effective trading rules for real estate equities.

Parabens enable suspension growth of MCF-10A immortalized, non-transformed human breast epithelial cells

Parabens (alkyl esters of p-hydroxybenzoic acid) are used extensively as preservatives in consumer products, and intact esters have been measured in several human tissues. Concerns of a potential link between parabens and breast cancer have been raised, but mechanistic studies have centred on their oestrogenic activity and little attention has been paid to any carcinogenic properties. In the present study, we report that parabens can induce anchorage-independent growth of MCF-10A immortalized but non-transformed human breast epithelial cells, a property closely related to transformation and a predictor of tumour growth in vivo. In semi-solid methocel suspension culture, MCF-10A cells produced very few colonies and only of a small size but the addition of 5 × 10-4 M methylparaben, 10–5 M n-propylparaben or 10–5 M n-butylparaben resulted in a greater number of colonies per dish (P < 0.05 in each case) and an increased average colony size (P < 0.001 in each case). Dose-responses showed that concentrations as low as 10–6 M methylparaben, 10–7 M n-propylparaben and 10–7 M n-butylparaben could increase colony numbers (P = 0.016, P = 0.010, P = 0.008, respectively): comparison with a recent measurement of paraben concentrations in human breast tissue samples from 40 mastectomies (Barr et al., 2012) showed that 22/40 of the patients had at least one of the parabens at the site of the primary tumour at or above these concentrations. To our knowledge, this is the first study to report that parabens can induce a transformed phenotype in human breast epithelial cells in vitro, and further investigation is now justified into a potential link between parabens and breast carcinogenesis.

Performance drivers of UK unlisted property funds

An unlisted property fund is a private investment vehicle which aims to provide direct property total returns and may also employ financial leverage which will accentuate performance. They have become a far more prevalent institutional property investment conduit since the early 2000’s. Investors have been primarily attracted to them due to the ease of executing a property exposure, both domestically and internationally, and for their diversification benefits given the capital intensive nature of constructing a well diversified commercial property investment portfolio. However, despite their greater prominence there has been little academic research conducted on the performance and risks of unlisted property fund investments. This can be attributed to a paucity of available data and limited time series where it exists. In this study we have made use of a unique dataset of institutional UK unlisted non-listed property funds over the period 2003Q4 to 2011Q4, using a panel modelling framework in order to determine the key factors which impact on fund performance. The sample provided a rich set of unlisted property fund factors including market exposures, direct property characteristics and the level of financial leverage employed. The findings from the panel regression analysis show that a small number of variables are able to account for the performance of unlisted property funds. These variables should be considered by investors when assessing the risk and return of these vehicles. The impact of financial leverage upon the performance of these vehicles through the recent global financial crisis and subsequent UK commercial property market downturn was also studied. The findings indicate a significant asymmetric effect of employing debt finance within unlisted property funds.

Non-display uses of digital works: Google Books and beyond

With the advent of mass digitization projects, such as the Google Book Search, a peculiar shift has occurred in the way that copyright works are dealt with. Contrary to what has so far been the case, works are turned into machine-readable data to be automatically processed for various purposes without the expression of works being displayed to the public. In the Google Book Settlement Agreement, this new kind of usage is referred to as ‘non-display uses’ of digital works. The legitimacy of these uses has not yet been tested by Courts and does not comfortably fit in the current copyright doctrine, plainly because the works are not used as works but as something else, namely as data. Since non-display uses may prove to be a very lucrative market in the near future, with the potential to affect the way people use copyright works, we examine non-display uses under the prism of copyright principles to determine the boundaries of their legitimacy. Through this examination, we provide a categorization of the activities carried out under the heading of ‘non-display uses’, we examine their lawfulness under the current copyright doctrine and approach the phenomenon from the spectrum of data protection law that could apply, by analogy, to the use of copyright works as processable data.