Diversification when it hurts? The joint distributions of real estate and equity markets

Much of the literature on the construction of mixed asset portfolios and the case for property as a risk diversifier rests on correlations measured over the whole of a given time series. Recent developments in finance, however, focuses on dependence in the tails of the distribution. Does property offer diversification from equity markets when it is most needed - when equity returns are poor. The paper uses an empirical copula approach to test tail dependence between property and equity for the UK and for a global portfolio. Results show strong tail dependence: in the UK, the dependence in the lower tail is stronger than in the upper tail, casting doubt on the defensive properties of real estate stocks.

Stochastic volatility jump-diffusions for European equity index dynamics

Major research on equity index dynamics has investigated only US indices (usually the S&P 500) and has provided contradictory results. In this paper a clarification and extension of that previous research is given. We find that European equity indices have quite different dynamics from the S&P 500. Each of the European indices considered may be satisfactorily modelled using either an affine model with price and volatility jumps or a GARCH volatility process without jumps. The S&P 500 dynamics are much more difficult to capture in a jump-diffusion framework.

Consumer-based brand equity conceptualisation and measurement: a literature review

Although there is a large body of research on brand equity, little in terms of a literature review has been published on this since Feldwick's (1996) paper. To address this gap, this paper brings together the scattered literature on consumer-based brand equity's conceptualisation and measurement. Measures of consumer-based brand equity are classified as either direct or indirect. Indirect measures assess consumer-based brand equity through its demonstrable dimensions and are superior from a diagnostic level. The paper concludes with directions for future research and managerial pointers for setting up a brand equity measurement system.

Conceptualising and measuring the equity of online brands

Although brand equity is an important source of competitive advantage online, previous conceptualisations and measures overlook the unique characteristics of the internet that render consumers co-creators of brand value. In view of this, a threephased research programme was undertaken to identify the facets of online retail/service (ORS) brand equity and then develop and validate a scale for its measurement. ORS brand equity was found to be a second order construct with five correlated yet distinct dimensions: emotional connection, online experience, responsive service nature, trust, and fulfilment. A series of tests showed that the ensuing 12-item scale has strong psychometric properties. The implications of this research for marketing researchers and practitioners are discussed.

Dimensionalising on- and off-line brands' composite equity

This paper approaches the subject of brand equity measurement on and offline. The existing body of research knowledge on brand equity measurement has derived from classical contexts; however, the majority of today's brands prosper simultaneously online and offline. Since branding on the Web needs to address the unique characteristics of computer-mediated environments, it was posited that classical measures of brand equity were inadequate for this category of brands. Aaker's guidelines for building a brand equity measurement system were thus followed and his brand equity ten was employed as a point of departure. The main challenge was complementing traditional measures of brand equity with new measures pertinent to the Web. Following 16 semi-structured interviews with experts, ten additional measures were identified.