The Consequences of REIT Index Membership for Return Patterns

We study the impact of S&P index membership on REIT stock returns. Given the hybrid nature of REITs, their returns may become more like those of other indexed stocks and less like those of their underlying properties. The existing literature does not offer clear predictions on these potential outcomes. Taking advantage of the inclusion of REITs in major S&P indexes starting in 2001, we find that shared index membership significantly increases the correlation between REIT returns after controlling for the stock characteristics that determine index membership. We also document that index membership enhances the link between REIT stock returns and the performance of the underlying real estate, consistent with improved pricing efficiency. REIT investors appear to be able to enjoy the benefits of improved visibility and liquidity associated with index membership as well as the exposure to underlying real estate markets and the related benefits of diversification.

A Monthly Volatility Index for the US Economy

We estimate the monthly volatility of the US economy from 1968 to 2006 by extending the coincidentindex model of Stock and Watson (1991). Our volatility index, which we call VOLINX, hasfour applications. First, it sheds light on the Great Moderation. VOLINX captures the decrease in thevolatility in the mid-80s as well as the different episodes of stress over the sample period. In the 70sand early 80s the stagflation and the two oil crises marked the pace of the volatility whereas 09/11 is themost relevant shock after the moderation. Second, it helps to understand the economic indicators thatcause volatility. While the main determinant of the coincident index is industrial production, VOLINXis mainly affected by employment and income. Third, it adapts the confidence bands of the forecasts.In and out-of-sample evaluations show that the confidence bands may differ up to 50% with respect to amodel with constant variance. Last, the methodology we use permits us to estimate monthly GDP, whichhas conditional volatility that is partly explained by VOLINX. These applications can be used by policymakers for monitoring and surveillance of the stress of the economy.

The Australian nonprofit sector legal almanac 2009, ACPNS Working Paper 49

There are a number of publications in Australian which summarises annual developments n the law for business or various industries, but little is available in accessible form for nonprofit staff, boards or volunteers. This publication seeks to fill that gap by bringing together in one place case reports and significant legislative initiatives.

QUT Digital Repository: Integrating the University’s IR with other digital collections

Queensland University of Technology’s Institutional Repository, QUT ePrints (http://eprints.qut.edu.au/), was established in 2003. With the help of an institutional mandate (endorsed in 2004) the repository now holds over 11,000 open access publications. The repository’s success is celebrated within the University and acknowledged nationally and internationally. QUT ePrints was built on GNU EPrints open source repository software (currently running v.3.1.3) and was originally configured to accommodate open access versions of the traditional range of research publications (journal articles, conference papers, books, book chapters and working papers). However, in 2009, the repository’s scope, content and systems were broadened and the ‘QUT Digital repository’ is now a service encompassing a range of digital collections, services and systems. For a work to be accepted in to the institutional repository, at least one of the authors/creators must have a current affiliation with QUT. However, the success of QUT ePrints in terms of its capacity to increase the visibility and accessibility of our researchers' scholarly works resulted in requests to accept digital collections of works which were out of scope. To address this need, a number of parallel digital collections have been developed. These collections include, OZcase, a collection of legal research materials and ‘The Sugar Industry Collection’; a digitsed collection of books and articles on sugar cane production and processing. Additionally, the Library has responded to requests from academics for a service to support the publication of new, and existing, peer reviewed open access journals. A project is currently underway to help a group of senior QUT academics publish a new international peer reviewed journal. The QUT Digital Repository website will be a portal for access to a range of resources to support copyright management. It is likely that it will provide an access point for the institution’s data repository. The data repository, provisionally named the ‘QUT Data Commons’, is currently a work-in-progress. The metadata for some QUT datasets will also be harvested by and discoverable via ‘Research Data Australia’, the dataset discovery service managed by the Australian National Data Service (ANDS). QUT Digital repository will integrate a range of technologies and services related to scholarly communication. This paper will discuss the development of the QUT Digital Repository, its strategic functions, the stakeholders involved and lessons learned.

Performance of Finnish Mutual Funds: A Decomposition Approach

Mutual funds have increased in popularity among Finnish investors in recent years. In this study returns on domestic funds have been decomposed into several elements that measure different aspects of fund performance. The results indicate that fund managers in the long run tend to allocate fund capital between different stock categories in a profitable way. When it comes to the short term timing of their allocation decisions they are however unable to further improve overall performance. The evidence also suggests that managers possess the ability to pick above average performing stocks within the individual stock categories. During the investigated period most funds returned more than a broad benchmark index even after fees and indirect costs were taken into account.

Evaluating the Predictability of the Volatility Smile Using Return Distributions

In this paper, we examine the predictability of observed volatility smiles in three major European index options markets, utilising the historical return distributions of the respective underlying assets. The analysis involves an application of the Black (1976) pricing model adjusted in accordance with the Jarrow-Rudd methodology as proposed in 1982. Thereby we adjust the expected future returns for the third and fourth central moments as these represent deviations from normality in the distributions of observed returns. Thus, they are considered one possible explanation to the existence of the smile. The obtained results indicate that the inclusion of the higher moments in the pricing model to some extent reduces the volatility smile, compared with the unadjusted Black-76 model. However, as the smile is partly a function of supply, demand, and liquidity, and as such intricate to model, this modification does not appear sufficient to fully capture the characteristics of the smile.

Intraday Seasonalities and Macroeconomic News Announcements

Using a data set consisting of three years of 5-minute intraday stock index returns for major European stock indices and U.S. macroeconomic surprises, the conditional mean and volatility behaviors in European market were investigated. The findings suggested that the opening of the U.S market significantly raised the level of volatility in Europe, and that all markets respond in an identical fashion. Furthermore, the U.S. macroeconomic surprises exerted an immediate and major impact on both European stock markets’ returns and volatilities. Thus, high frequency data appear to be critical for the identification of news that impacted the markets.

Monetary Policy, Stock Price Misalignments and Macroeconomic Instability

Perhaps the most fundamental prediction of financial theory is that the expected returns on financial assets are determined by the amount of risk contained in their payoffs. Assets with a riskier payoff pattern should provide higher expected returns than assets that are otherwise similar but provide payoffs that contain less risk. Financial theory also predicts that not all types of risks should be compensated with higher expected returns. It is well-known that the asset-specific risk can be diversified away, whereas the systematic component of risk that affects all assets remains even in large portfolios. Thus, the asset-specific risk that the investor can easily get rid of by diversification should not lead to higher expected returns, and only the shared movement of individual asset returns – the sensitivity of these assets to a set of systematic risk factors – should matter for asset pricing. It is within this framework that this thesis is situated. The first essay proposes a new systematic risk factor, hypothesized to be correlated with changes in investor risk aversion, which manages to explain a large fraction of the return variation in the cross-section of stock returns. The second and third essays investigate the pricing of asset-specific risk, uncorrelated with commonly used risk factors, in the cross-section of stock returns. The three essays mentioned above use stock market data from the U.S. The fourth essay presents a new total return stock market index for the Finnish stock market beginning from the opening of the Helsinki Stock Exchange in 1912 and ending in 1969 when other total return indices become available. Because a total return stock market index for the period prior to 1970 has not been available before, academics and stock market participants have not known the historical return that stock market investors in Finland could have achieved on their investments. The new stock market index presented in essay 4 makes it possible, for the first time, to calculate the historical average return on the Finnish stock market and to conduct further studies that require long time-series of data.

Examining and Modeling the Dynamics of the Volatility Surface

The objective of this paper is to investigate and model the characteristics of the prevailing volatility smiles and surfaces on the DAX- and ESX-index options markets. Continuing on the trend of Implied Volatility Functions, the Standardized Log-Moneyness model is introduced and fitted to historical data. The model replaces the constant volatility parameter of the Black & Scholes pricing model with a matrix of volatilities with respect to moneyness and maturity and is tested out-of-sample. Considering the dynamics, the results show support for the hypotheses put forward in this study, implying that the smile increases in magnitude when maturity and ATM volatility decreases and that there is a negative/positive correlation between a change in the underlying asset/time to maturity and implied ATM volatility. Further, the Standardized Log-Moneyness model indicates an improvement to pricing accuracy compared to previous Implied Volatility Function models, however indicating that the parameters of the models are to be re-estimated continuously for the models to fully capture the changing dynamics of the volatility smiles.

Volatility Smile Dynamics in Scenario Analysis

The objective of this paper is to suggest a method that accounts for the impact of the volatility smile dynamics when performing scenario analysis for a portfolio consisting of vanilla options. As the volatility smile is documented to change at least with the level of implied at-the-money volatility, a suitable model is here included in the calculation process of the simulated market scenarios. By constructing simple portfolios of index options and comparing the ex ante risk exposure measured using different pricing methods to realized market values, ex post, the improvements of the incorporation of the model are monitored. The analyzed examples in the study generate results that statistically support that the most accurate scenarios are those calculated using the model accounting for the dynamics of the smile. Thus, we show that the differences emanating from the volatility smile are apparent and should be accounted for and that the methodology presented herein is one suitable alternative for doing so.

The Effect of Obesity on Wages and Employment: The Difference Between Having a High BMI and Being Fat

In this paper, we re-examine the relationship between overweight and labour market success, using indicators of individual body composition along with BMI (Body Mass Index). We use the dataset from Finland in which weight, height, fat mass and waist circumference are not self-reported, but obtained as part of the overall health examination. We find that waist circumference, but not weight or fat mass, has a negative effect on wages for women, whereas all measures of obesity have negative effects on women’s employment probabilities. For men, the only obesity measure that is significant for men’s employment probabilities is fat mass. One interpretation of our findings is that the negative wage effects of overweight on wages run through the discrimination channel, but that the negative effects of overweight on employment have more to do with ill health. All in all, measures of body composition provide a more refined picture about the effects of obesity on wages and employment.

Empirical Evidence of Conditional Heteroskedasticity in Vietnam’s Stock Returns Time Series

This paper confirms presence of GARCH(1,1) effect on stock return time series of Vietnam’s newborn stock market. We performed tests on four different time series, namely market returns (VN-Index), and return series of the first four individual stocks listed on the Vietnamese exchange (the Ho Chi Minh City Securities Trading Center) since August 2000. The results have been quite relevant to previously reported empirical studies on different markets.

Reception and schooling of children in schools in Catalonia: Beyond Educational Welcome Facilities

The ways of incorporating newcoming students into schools and colleges have been at the center of debate in most OECD countries in recent years. In Spain, the set of measures developed for the reception of immigrant pupils in different Autonomous Communities has also been the subject of specific research, pointing out the similarities and contradictions between pedagogic discourses and school practices. This article takes into account these considerations and presents the reflections from the results of research on the Educational Welcome Facilities (and specifically the EBE) conducted during the school years 2008-2010. This device was created in Catalonia to attend newcomers before enrolling them in the school. It was a pilot project which took place in Vic and Reus for two consecutive years. The research of the EBE has enabled us to explain the relationship between educational assessment that schools made about this facility and reception processes that schools were implementing. The conclusions that emerge from this analysis allowed us to establish relationships between educational host practices of the seven centers analyzed with three different conceptual and educational frameworks of reception.

La proyección de imagen a partir de Soft Power, mediante Nation Branding y Diplomacia Pública en el caso de Japón, durante el periodo 2002 – 2010

En el actual contexto de globalización y con el comienzo de la era de la información, cada vez más Estados han buscado proyectar una imagen favorable con el objetivo de atraer atención y crear una reputación que permitan cumplir objetivos de política exterior y fomentar el desarrollo económico, logrando de esta manera un posicionamiento en el sistema internacional mediante estrategias novedosas, que incluyen elementos tanto diplomáticos, políticos, económicos, como comerciales y culturales. Para Japón, Nation Branding y la diplomacia pública han sido dos de las principales herramientas para lograr este reposicionamiento internacional, resaltando atractivos como las tradiciones culturales, el turismo, los incentivos para negocios, y trabajando en conjunto entre el gobierno nacional, el sector privado y la sociedad civil para crear relaciones entre el país y gobiernos y sociedades a nivel internacional.

Análisis de la influencia de la agenda setting y la imagen en campañas electorales. Estudio de caso: campaña de Gustavo Petro a la Alcaldía de Bogotá

Este trabajo busca hacer un análisis de la influencia de la imagen y la agenda setting en el éxito de una campaña electoral. La mayoría de estudios que tratan esta materia apuntan a la creación de unas normas básicas universales, pero en este tema nada está escrito y la coyuntura tanto geográfica como temporal, juegan un papel fundamental. De acuerdo a lo anterior, este trabajo busca comprobar que dada una coyuntura, hay unos factores específicos que confluyen para llevar a la victoria a un candidato determinado.