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 tractable means of correcting sector level TFP calculations in the face of biased technological change.

The measurement of the impact of technical change has received significant attention within the economics literature. One popular method of quantifying the impact of technical change is the use of growth accounting index numbers. However, in a recent article Nelson and Pack (1999) criticise the use of such index numbers in situations where technical change is likely to be biased in favour of one or other inputs. In particular they criticise the common approach of applying observed cost shares, as proxies for partial output elasticities, to weight the change in quantities which they claim is only valid under Hicks neutrality. Recent advances in the measurement of product and factor biases of technical change developed by Balcombe et al (2000) provide a relatively straight-forward means of correcting product and factor shares in the face of biased technical progress. This paper demonstrates the correction of both revenue and cost shares used in the construction of a TFP index for UK agriculture over the period 1953 to 2000 using both revenue and cost function share equations appended with stochastic latent variables to capture the bias effect. Technical progress is shown to be biased between both individual input and output groups. Output and input quantity aggregates are then constructed using both observed and corrected share weights and the resulting TFPs are compared. There does appear to be some significant bias in TFP if the effect of biased technical progress is not taken into account when constructing the weights

Measuring productivity growth when technological change is biased - a new index and an application to UK agriculture

Productivity growth is conventionally measured by indices representing discreet approximations of the Divisia TFP index under the assumption that technological change is Hicks-neutral. When this assumption is violated, these indices are no longer meaningful because they conflate the effects of factor accumulation and technological change. We propose a way of adjusting the conventional TFP index that solves this problem. The method adopts a latent variable approach to the measurement of technical change biases that provides a simple means of correcting product and factor shares in the standard Tornqvist-Theil TFP index. An application to UK agriculture over the period 1953-2000 demonstrates that technical progress is strongly biased. The implications of that bias for productivity measurement are shown to be very large, with the conventional TFP index severely underestimating productivity growth. The result is explained primarily by the fact that technological change has favoured the rapidly accumulating factors against labour, the factor leaving the sector. (C) 2004 Elsevier B.V. All rights reserved.

Winter wheat in England and Wales, 1923 - 1995: What do indices of genetic diversity reveal?

Genealogical data have been used very widely to construct indices with which to examine the contribution of plant breeding programmes to the maintenance and enhancement of genetic resources. In this paper we use such indices to examine changes in the genetic diversity of the winter wheat crop in England and Wales between 1923 and 1995. We find that, except for one period characterized by the dominance of imported varieties, the genetic diversity of the winter wheat crop has been remarkably stable. This agrees with many studies of plant breeding programmes elsewhere. However, underlying the stability of the winter wheat crop is accelerating varietal turnover without any significant diversification of the genetic resources used. Moreover, the changes we observe are more directly attributable to changes in the varietal shares of the area under winter wheat than to the genealogical relationship between the varieties sown. We argue, therefore, that while genealogical indices reflect how well plant breeders have retained and exploited the resources with which they started, these indices suffer from a critical limitation. They do not reflect the proportion of the available range of genetic resources which has been effectively utilized in the breeding programme: complex crosses of a given set of varieties can yield high indices, and yet disguise the loss (or non-utilization) of a large proportion of the available genetic diversity.

Has the mechanism by which the endocrine placenta scavenges the mother whilst sparing the foetus been unmasked?

The endocrine placenta has a dilemma; it shares the foetal circulation and yet it needs to secrete active peptide hormones into the maternal circulation to control her metabolism to meet the demands of the growing foetus. Simultaneously, it needs to allow the endocrine systems of the foetus to develop independently. This article will describe how peptide hormones are processed from inactive intermediates and will propose a hypothesis of how the placenta has revised this process to protect the foetus from the potentially damaging affects of these products.

Adverse gastrointestinal effects of arginine and related amino acids

Oral supplements of arginine and citrulline increase local nitric oxide (NO production in the small intestine and this may be harmful under certain circumstances. Gastrointestinal toxicity was therefore reviewed with respect to the intestinal physiology of arginine, citrulline, ornithine, and cystine (which shares the same transporter) and the many clinical trials of supplements of the dibasic amino acids or N-acetylcysteine (NAC. The human intestinal dibasic amino acid transport system has high affinity and low capacity. L-Arginine (but not lysine, ornithine, or D-arginine) induces water and electrolyte secretion that is mediated by NO, which acts as an absorbagogue at low levels and as a secretagogue at high levels. The action of many laxatives is NO mediated and there are reports of diarrhea following oral administration of arginine or ornithine ihine. The clinical data cover a wide span of arginine intakes f rom 3 g/d to > 100 g/d, but the standard of reporting adverse effects (e.g. nausea, vomiting, and diarrhea) was variable. Single doses of 3-6 g rarely provoked side effects and healthy athletes appeared to be more susceptible than diabetic patients to gastrointestinal symptoms at individual doses >9 g. This may relate to an effect of disease on gastrointestinal motility and pharmacokinetics. Most side effects of arginine and NAC occurred at single doses of >9 g in adults >140 mg/kg) often when part of a daily regime of similar to>30 g/d (>174 mmol/d). In the case of arginine, this compares with the laxative threshold of the nonabsorbed disaccharide alcohol, lactitol (74 g or 194 mmol). Adverse effects seemed dependent on the dosage regime and disappeared if divided doses were ingested (unlike lactitol). Large single doses of poorly absorbed amino acids seem to provoke diarrhea. More research is needed to refine dosage strategies that reduce this phenomenon. It is suggested that dipeptide forms of arginine may meet this criterion.

Exploring block construction and mental imagery: evidence of atypical orientation discrimination in Williams syndrome

The visuospatial perceptual abilities of individuals with Williams syndrome (WS) were investigated in two experiments. Experiment I measured the ability of participants to discriminate between oblique and between nonoblique orientations. Individuals with WS showed a smaller effect of obliqueness in response time, when compared to controls matched for nonverbal mental age. Experiment 2 investigated the possibility that this deviant pattern of orientation discrimination accounts for the poor ability to perform mental rotation in WS (Farran, Jarrold, & Gathercole, 2001). A size transformation task was employed, which shares the image transformation requirements of mental rotation, but not the orientation discrimination demands. Individuals with WS performed at the same level as controls. The results suggest a deviance at the perceptual level in WS, in processing orientation, which fractionates from the ability to mentally transform images.

Preliminary X-ray diffraction analysis of YqjH from Escherichia coli: a putative cytoplasmic ferri-siderophore reductase

YqjH is a cytoplasmic FAD-containing protein from Escherichia coli; based on homology to ViuB of Vibrio cholerae, it potentially acts as a ferri-siderophore reductase. This work describes its overexpression, purification, crystallization and structure solution at 3.0 A resolution. YqjH shares high sequence similarity with a number of known siderophore-interacting proteins and its structure was solved by molecular replacement using the siderophore-interacting protein from Shewanella putrefaciens as the search model. The YqjH structure resembles those of other members of the NAD(P)H:flavin oxidoreductase superfamily.

Towards the "cult of the equity"? Insurance companies and the interwar capital market

This article examines the ways in which insurance companies modified their investment policies during the interwar years, arguing that this period marked the start of the transition from ‘traditional’ to ‘modern’ investment practice. Economic and financial conditions raised considerable doubts regarding the suitability of traditional insurance investments, while competitive conditions forced insurance offices to seek higher-yielding assets. These pressures led to a considerable increase in the proportion of new investment devoted to corporate securities, including ordinary shares. Meanwhile new insurance investment philosophies began to be advocated, which accorded both legitimacy and importance to the role of ordinary shares in insurance portfolios.

Firm size and competition: a comparison of the housebuilding industries in Australia, the UK and the USA

Housebuilding is frequently viewed as an industry full of small firms. However, large firms exist in many countries. Here, a comparative analysis is made of the housebuilding industries in Australia, Britain and the USA. Housebuilding output is found to be much higher in Australia and the USA than in Britain when measured on a per capita basis. At the same time, the degree of market concentration in Australia and the USA is relatively low but in Britain it is far greater, with a few firms having quite substantial market shares. Investigation of the size distribution of the top 100 or so firms ranked by output also shows that the decline in firm size from the largest downwards is more rapid in Britain than elsewhere. The exceptionalism of the British case is put down to two principal reasons. First, the close proximity of Britain’s regions enables housebuilders to diversify successfully across different markets. The gains from such diversification are best achieved by large firms, because they can gain scale benefits in any particular market segment. Second, land shortages induced by a restrictive planning system encourage firms to takeover each other as a quick and beneficial means of acquiring land. The institutional rules of planning also make it difficult for new entrants to come in at the bottom end of the size hierarchy. In this way, concentration grows and a handful of large producers emerge. These conditions do not hold in the other two countries, so their industries are less concentrated. Given the degree of rivalry between firms over land purchases and takeovers, it is difficult to envisage them behaving in a long-term collusive manner, so that competition in British housebuilding is probably not unduly compromised by the exceptional degree of firm concentration. Reforms to lower the restrictions, improve the slow responsiveness and reduce the uncertainties associated with British planning systems’ role in housing supply are likely to greatly improve the ability of new firms to enter housebuilding and all firms’ abilities to increase output in response to rising housing demand. Such reforms would also probably lower overall housebuilding firm concentration over time.

Commercial real estate return distributions: a review of literature and empirical evidence

This paper review the literature on the distribution of commercial real estate returns. There is growing evidence that the assumption of normality in returns is not safe. Distributions are found to be peaked, fat-tailed and, tentatively, skewed. There is some evidence of compound distributions and non-linearity. Public traded real estate assets (such as property company or REIT shares) behave in a fashion more similar to other common stocks. However, as in equity markets, it would be unwise to assume normality uncritically. Empirical evidence for UK real estate markets is obtained by applying distribution fitting routines to IPD Monthly Index data for the aggregate index and selected sub-sectors. It is clear that normality is rejected in most cases. It is often argued that observed differences in real estate returns are a measurement issue resulting from appraiser behaviour. However, unsmoothing the series does not assist in modelling returns. A large proportion of returns are close to zero. This would be characteristic of a thinly-traded market where new information arrives infrequently. Analysis of quarterly data suggests that, over longer trading periods, return distributions may conform more closely to those found in other asset markets. These results have implications for the formulation and implementation of a multi-asset portfolio allocation strategy.

Developing “Best Practices” for bankers’ pay in line with Basel III

This paper proposes hybrid capital securities as a significant part of senior bank executive incentive compensation in light of Basel III, a new global regulatory standard on bank capital adequacy and liquidity agreed by the members of the Basel Committee on Banking Supervision. The committee developed Basel III in a response to the deficiencies in financial regulation brought about by the global financial crisis. Basel III strengthens bank capital requirements and introduces new regulatory requirements on bank liquidity and bank leverage. The hybrid bank capital securities we propose for bank executives’ compensation are preferred shares and subordinated debt that the June 2004 Basel II regulatory framework recognised as other admissible forms of capital. The past two decades have witnessed dramatic increase in performance-related pay in the banking industry. Stakeholders such as shareholders, debtholders and regulators criticise traditional cash and equity-based compensation for encouraging bank executives’ excessive risk taking and short-termism, which has resulted in the failure of risk management in high profile banks during the global financial crisis. Paying compensation in the form of hybrid bank capital securities may align the interests of executives with those of stakeholders and help banks regain their reputation for prudence after years of aggressive risk-taking. Additionally, banks are desperately seeking to raise capital in order to bolster balance sheets damaged by the ongoing credit crisis. Tapping their own senior employees with large incentive compensation packages may be a viable additional source of capital that is politically acceptable in times of large-scale bailouts of the financial sector and economically wise as it aligns the interests of the executives with the need for a stable financial system.

Role of NleH, a Type III Secreted Effector from Attaching and Effacing Pathogens, in Colonization of the Bovine, Ovine, and Murine Gut

The human pathogen enterohemorrhagic Escherichia coli (EHEC) O157:H7 colonizes human and animal gut via formation of attaching and effacing lesions. EHEC strains use a type III secretion system to translocate a battery of effector proteins into the mammalian host cell, which subvert diverse signal transduction pathways implicated in actin dynamics, phagocytosis, and innate immunity. The genomes of sequenced EHEC O157: H7 strains contain two copies of the effector protein gene nleH, which share 49% sequence similarity with the gene for the Shigella effector OspG, recently implicated in inhibition of migration of the transcriptional regulator NF-kappa B to the nucleus. In this study we investigated the role of NleH during EHEC O157: H7 infection of calves and lambs. We found that while EHEC Delta nleH colonized the bovine gut more efficiently than the wild-type strain, in lambs the wild-type strain exhibited a competitive advantage over the mutant during mixed infection. Using the mouse pathogen Citrobacter rodentium, which shares many virulence factors with EHEC O157: H7, including NleH, we observed that the wild-type strain exhibited a competitive advantage over the mutant during mixed infection. We found no measurable differences in T-cell infiltration or hyperplasia in colons of mice inoculated with the wild-type or the nleH mutant strain. Using NF-kappa B reporter mice carrying a transgene containing a luciferase reporter driven by three NF-kappa B response elements, we found that NleH causes an increase in NF-kappa B activity in the colonic mucosa. Consistent with this, we found that the nleH mutant triggered a significantly lower tumor necrosis factor alpha response than the wild-type strain.