An analysis of commercial real estate returns: an anatomy of smoothing in asset and index returns

In this article, 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. Many articles have been written on appraisal smoothing but remarkably few have considered the relationship between smoothing at the individual property level and the amount of persistence in the aggregate appraisal-based index. To investigate this issue we analyze a large sample of appraisal data at the individual property level from the Investment Property Databank. We find that commonly used unsmoothing estimates at the index level 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 at the index level and an ARMA model at the individual property level.

An anatomy of the cooling of the North Atlantic Ocean in the 1960s and 1970s

In the 1960s and early 1970s sea surface temperatures in the North Atlantic Ocean cooled rapidly. There is still considerable uncertainty about the causes of this event, although various mechanisms have been proposed. In this observational study it is demonstrated that the cooling proceeded in several distinct stages. Cool anomalies initially appeared in the mid-1960s in the Nordic Seas and Gulf Stream Extension, before spreading to cover most of the Subpolar Gyre. Subsequently, cool anomalies spread into the tropical North Atlantic before retreating, in the late 1970s, back to the Subpolar Gyre. There is strong evidence that changes in atmospheric circulation, linked to a southward shift of the Atlantic ITCZ, played an important role in the event, particularly in the period 1972-76. Theories for the cooling event must account for its distinctive space-time evolution. Our analysis suggests that the most likely drivers were: 1) The “Great Salinity Anomaly” of the late 1960s; 2) An earlier warming of the subpolar North Atlantic, which may have led to a slow-down in the Atlantic Meridional Overturning Circulation; 3) An increase in anthropogenic sulphur dioxide emissions. Determining the relative importance of these factors is a key area for future work.