Liquidity and the drivers of search, due diligence and transaction times for UK commercial real estate investments

Trading commercial real estate involves a process of exchange that is costly and which occurs over an extended and uncertain period of time. This has consequences for the performance and risk of real estate investments. Most research on transaction times has occurred for residential rather than commercial real estate. We study the time taken to transact commercial real estate assets in the UK using a sample of 578 transactions over the period 2004 to 2013. We measure average time to transact from a buyer and seller perspective, distinguishing the search and due diligence phases of the process, and we conduct econometric analysis to explain variation in due diligence times between assets. The median time for purchase of real estate from introduction to completion was 104 days and the median time for sale from marketing to completion was 135 days. There is considerable variation around these times and results suggest that some of this variation is related to market state, type and quality of asset, and type of participants involved in the transaction. Our findings shed light on the drivers of liquidity at an individual asset level and can inform models that quantify the impact of uncertain time on market on real estate investment risk.

Generalised golden ratios over integer alphabets

It is a well known result that for β ∈ (1,1+√52) and x ∈ (0,1β−1) there exists uncountably many (ǫi)∞i=1 ∈ {0,1}N such that x = P∞i=1ǫiβ−i. When β ∈ (1+√52,2] there exists x ∈ (0,1β−1) for which there exists a unique (ǫi)∞i=1 ∈ {0,1}N such that x=P∞i=1ǫiβ−i. In this paper we consider the more general case when our sequences are elements of {0, . . . , m}N. We show that an analogue of the golden ratio exists and give an explicit formula for it.

Bank market concentration, relationship banking and small business liquidity

This paper examines two contrasting interpretations of how bank market concentration (Market Power Hypothesis) and banking relationships (Information Hypothesis) affect three sources of small firm liquidity (cash, lines of credit and trade credit). Supportive of a market power interpretation, we find that in a highly concentrated banking market, small firms hold less cash, have less access to lines of credit, and are more likely to be financially constrained, use greater amounts of more expensive trade credit and face higher penalties for trade credit late payment. We also find support for the information hypothesis: relationship banking improves small business liquidity, particularly in a concentrated banking market, thereby mitigating the adverse effects of bank market concentration derived from market power. Our results are robust to different cash, lines of credit and trade credit measures and to alternative empirical approaches.

Liquidity review: dimensions, causes, measures and empirical applications in real estate markets

Liquidity is a fundamentally important facet of investments, but there is no single measure that quantifies it perfectly. Instead, a range of measures are necessary to capture different dimensions of liquidity such as the breadth and depth of markets, the costs of transacting, the speed with which transactions can occur and the resilience of prices to trading activity. This article considers how different dimensions have been measured in financial markets and for various forms of real estate investment. The purpose of this exercise is to establish the range of liquidity measures that could be used for real estate investments before considering which measures and questions have been investigated so far. Most measures reviewed here are applicable to public real estate, but not all can be applied to private real estate assets or funds. Use of a broader range of liquidity measures could help real estate researchers tackle issues such as quantification of illiquidity premiums for the real estate asset class or different types of real estate, and how liquidity differences might be incorporated into portfolio allocation models.

Ratios of UV, PAR and NIR components to global solar radiation measured at Botucatu site in Brazil

The relationships between the four radiant fluxes are analyzed based on a 4 year data archive of hourly and daily global ultraviolet (I(UV)), photosynthetically active-PAR (I(PAR)), near infrared (I(NIR)) and broadband global solar radiation (I(G)) collected at Botucatu, Brazil. These data are used to establish both the fractions of spectral components to global solar radiation and the proposed linear regression models. Verification results indicated that the proposed regression models predict accurately the spectral radiant fluxes at least for the Brazilian environment. Finally, results obtained in this analysis agreed well with most published results in the literature. (c) 2010 Elsevier Ltd. All rights reserved.

First observation of the Cabibbo-suppressed decays Xi(+)(c)->Sigma(+)pi(-)pi(+) and Xi(+)(c)->Sigma(-)pi(+)pi(+) and measurement of their branching ratios

We report the first observation of two Cabibbo-suppressed ecay modes, Xi(+)(c) -> Sigma(+)pi(-)pi(+) and Xi c+ -> Sigma(-)pi(+)pi(+). We observe 59 +/- 14 over a background of 87, and 22 +/- 8 over a background of 13 events, respectively, for the signals. The data were accumulated using the SELEX spectrometer during the 1996-1997 fixed target run at Fermilab, chiefly from a 600 Gev/c Sigma(-) beam. The branching ratios of the decays relative to the Cabibbo-favored Xi c+ -> Xi(-)pi(+)pi(+) are measured to be B(Xi(+)(c) -> Sigma(+)pi(-)pi(+))/B(Xi(+)(c) -> Xi(-)pi(+)pi(+)) = 0.48 +/- 0.20, and B(Xi(+)(c) -> Sigma(-)pi(+)pi(+))/B(Xi(+)(c) -> Sigma(-)pi(+)pi(+)) = 0.18 +/- 0.09, respectively. We also report branching ratios for the same decay modes of the Delta(+)(c) relative to Delta(+)(c) -> pK(-)pi(+.) (C) 2008 Elsevier B.V. All rights reserved.

Metal location and thickness in a multilayered sheet by measuring K alpha/K beta, L alpha/L beta and L alpha/L gamma X-ray ratios

When a multilayered material is analyzed by means of energy-dispersive X-ray fluorescence analysis, then the X-ray ratios of K alpha/K beta, or L alpha/L beta and L alpha/L gamma, for an element in the multilayered material, depend on the composition and thickness of the layer in which the element is situated, and on the composition and thickness of the superimposed layer (or layers). Multilayered samples are common in archaeometry, for example, in the case of pigment layers in paintings, or in the case of gilded or silvered alloys. The latter situation is examined in detail in the present paper, with a specific reference to pre-Columbian alloys from various museums in the north of Peru. (C) 2009 Elsevier B.V. All rights reserved.

Effect of Different Solvent Ratios (Water/Ethylene Glycol) on the Growth Process of CaMoO(4) Crystals and Their Optical Properties

In this paper, calcium molybdate (CaMoO(4)) crystals (meso- and nanoscale) were synthesized by the coprecipitation method using different solvent volume ratios (water/ethylene glycol). Subsequently, the obtained suspensions were processed in microwave-assisted hydrothermal/solvothermal systems at 140 degrees C for 1 h. These meso- and nanocrystals processed were characterized by X-ray diffraction (X R I)), Fourier transform Raman (FT-Raman), Fourier transform infrared (FT-IR). ultraviolet visible (UV-vis) absorption spectroscopies, held-emission gun scanning electron microscopy (FEG-SEM). transmission electron microscopy (TEM). and photoluminescence (PL) measurements. X RI) patterns and FT-Raman spectra showed that these meso- and nanocrystals have a scheelite-type tetragonal structure without the presence of deleterious phases. FT-IR spectra exhibited a large absorption band situated at around 827 cm(-1), which is associated with the Mo-O anti-symmetric stretching vibrations into the [MoO(4)] clusters. FEG-SEM micrographs indicated that the ethylene glycol concentration in the aqueous solution plays an important role in the morphological evolution of CaMoO(4) crystals. High-resolution TEM micrographs demonstrated that the mesocrystals consist of several aggregated nanoparticles with electron diffraction patterns of monocrystal. In addition, the differences observed in the selected area electron diffraction patterns of CaMoO(4) crystals proved the coexistence of both nano- and mesostructures, First-principles quantum mechanical calculations based on the density functional theory at the B3LYP level were employed in order to understand the band structure find density of states For the CaMoO(4). UV-vis absorption measurements evidenced a variation in optical band gap values (from 3.42 to 3.72 cV) for the distinct morphologies. The blue and green PI. emissions observed in these crystals were ascribed to the intermediary energy levels arising from the distortions on the [MoO(4)] clusters clue to intrinsic defects in the lattice of anisotropic/isotropic crystals.

What if firms adjust their debt-equity ratios toward a target range?

We estimate optimal target-ranges of capital structure controlling for a series of firmspecific characteristics and accounting for the serial correlation that arises from the dynamic component of the leverage choice. Then, we empirically examine if firms adjust their leverages toward the estimated optimal ranges. Our analysis suggests that the observed behavior of firms is consistent with the notion of range-adjustment.

Aftermarket short covering in ipos and long-term stock liquidity

This study investigates the effect of the aftermarket short covering (ASC) carried out by the underwriter during the price stabilization period on stock long-term liquidity. Because the ASC increases liquidity during the stabilization period and liquidity is a persistent characteristic of stocks, the ASC can increase long-term liquidity. In fact, we show that the ASC has a positive effect on liquidity over the 6 months subsequent to the stabilization period. This positive relation holds true even after controlling for many variables found important to explain liquidity by previous authors and the instrumentalization of the ASC.

The Aiyagari model with liquidity shoch

Neste trabalho é desenvolvida uma versão do modelo de Aiyagari (1994) com choque de liquidez. Este modelo tem Huggett (1993) e Aiyagari (1994) como casos particulares, mas esta generalização permite dois ativos distintos na economia, um líquido e outro ilíquido. Usar dois ativos diferentes implica em dois retornos afetando o "market clearing", logo, a estratégia computacional usada por Aiyagari e Hugget não funciona. Consequentemente, a triangulação de Scarf substitui o algoritmo. Este experimento computacional mostra que o retorno em equilíbrio do ativo líquido é menor do que o retorno do ilíquido. Além disso, pessoas pobres carregam relativamente mais o ativo líquido, e essa desigualdade não aparece no modelo de Aiyagari.

Central bank balance sheet concerns and credible optimal escape from the Liquidity trap

I show that when a central bank is financially independent from the treasury and has balance sheet concerns, an increase in the size or a change in the composition of the central bank's balance sheet (quantitative easing) can serve as a commitment device in a liquidity trap scenario. In particular, when the short-term interest rate is up against the zero lower bound, an open market operation by the central bank that involves purchases of long-term bonds can help mitigate the deation and a large negative output gap under a discretionary equilibrium. This is because such an open market operation provides an incentive to the central bank to keep interest rates low in future in order to avoid losses in its balance sheet.

Três ensaios sobre política monetária e crédito

In the first essay, "Determinants of Credit Expansion in Brazil", analyzes the determinants of credit using an extensive bank level panel dataset. Brazilian economy has experienced a major boost in leverage in the first decade of 2000 as a result of a set factors ranging from macroeconomic stability to the abundant liquidity in international financial markets before 2008 and a set of deliberate decisions taken by President Lula's to expand credit, boost consumption and gain political support from the lower social strata. As relevant conclusions to our investigation we verify that: credit expansion relied on the reduction of the monetary policy rate, international financial markets are an important source of funds, payroll-guaranteed credit and investment grade status affected positively credit supply. We were not able to confirm the importance of financial inclusion efforts. The importance of financial sector sanity indicators of credit conditions cannot be underestimated. These results raise questions over the sustainability of this expansion process and financial stability in the future. The second essay, “Public Credit, Monetary Policy and Financial Stability”, discusses the role of public credit. The supply of public credit in Brazil has successfully served to relaunch the economy after the Lehman-Brothers demise. It was later transformed into a driver for economic growth as well as a regulation device to force private banks to reduce interest rates. We argue that the use of public funds to finance economic growth has three important drawbacks: it generates inflation, induces higher loan rates and may induce financial instability. An additional effect is the prevention of market credit solutions. This study contributes to the understanding of the costs and benefits of credit as a fiscal policy tool. The third essay, “Bayesian Forecasting of Interest Rates: Do Priors Matter?”, discusses the choice of priors when forecasting short-term interest rates. Central Banks that commit to an Inflation Target monetary regime are bound to respond to inflation expectation spikes and product hiatus widening in a clear and transparent way by abiding to a Taylor rule. There are various reports of central banks being more responsive to inflationary than to deflationary shocks rendering the monetary policy response to be indeed non-linear. Besides that there is no guarantee that coefficients remain stable during time. Central Banks may switch to a dual target regime to consider deviations from inflation and the output gap. The estimation of a Taylor rule may therefore have to consider a non-linear model with time varying parameters. This paper uses Bayesian forecasting methods to predict short-term interest rates. We take two different approaches: from a theoretic perspective we focus on an augmented version of the Taylor rule and include the Real Exchange Rate, the Credit-to-GDP and the Net Public Debt-to-GDP ratios. We also take an ”atheoretic” approach based on the Expectations Theory of the Term Structure to model short-term interest. The selection of priors is particularly relevant for predictive accuracy yet, ideally, forecasting models should require as little a priori expert insight as possible. We present recent developments in prior selection, in particular we propose the use of hierarchical hyper-g priors for better forecasting in a framework that can be easily extended to other key macroeconomic indicators.