Análise à volatilidade do mercado da arte

Um olhar breve para a história financeira internacional denota que, em períodos de crise ou até mesmo de depressão das principais economias mundiais, os investidores tendem a proteger os seus investimentos, muito para além dos usuais activos financeiros, como o caso das acções, obrigações, entre outros. A principal razão para tal é que, em termos empíricos, verifica-se que estes activos referidos apresentam uma elevada volatilidade, especialmente em momentos de grande turbulência nos mercados financeiros, em virtude da incerteza quanto ao futuro das economias mundiais. Assim sendo, a presente investigação realiza uma análise em torno da previsão de volatilidade dos activos associados a arte e, assim, pretende comparar com a volatilidade existente em torno dos índices ou mercados financeiros. Para tal, serão adoptados os modelos de heterocedasticidade condicional, com a finalidade de previsão de volatilidade marginal ou incondicional. A análise efectuada baseou-se na comparação da volatilidade marginal dos índices S&P 500 e DJ Euro Stoxx 50, representativos dos activos financeiros, face à volatilidade marginal das principais empresas (Christie´s e Sotheby´s) e do principal índice de arte (ArtPrice Global Index), representativos dos activos associados à arte. Os resultados evidenciam uma diferença significativa entre as volatilidades marginais ou incondicionais previstas, resultando numa menor volatilidade prevista incondicional dos activos de arte face aos activos financeiros.

For better or for worse, till the human development index do us part?

This paper describes the results of research intended to explore the volatility inherent in the United Nations Development Programme's (UNDP) Human Development Index (HDI). The HDI is intended to be a simple and transparent device for comparing progress in human development, and is an aggregate of life expectancy, education and GDP per capita. Values of the HDI for each country are presented in the Human Development Reports (HDRs), the first being published in 1990. However, while the methodology is consistent for all countries in each year there are notable differences between years that make temporal comparisons of progress difficult. The paper presents the results of recalculating the HDI for a simplified sample of 114 countries using various methodologies employed by the UNDP. The results are a set of deviations of recalculated HDI ranks compared to the original ranks given in the HDRs. The volatility that can result from such recalculation is shown to be substantial (+/-10-15 ranks), yet reports in the popular press are frequently sensitive to movements of only a few ranks. Such movement can easily be accounted for by changes in the HDI methodology rather than genuine progress in human development. While the HDRs often carry warnings about the inadvisability of such year-on-year comparisons, it is argued that the existence of such a high-profile index and the overt presentation within league tables do encourage such comparison. Assuming that the HDI will be retained as a focal point within the HDRs, then it is suggested that greater focus be upon more meaningful and robust categories of human development (e.g. low, medium and high) rather than league tables where shifts of a few places, perhaps as a result of nothing more than a methodological or data artefact, may be highlighted in the press and by policy makers. (C) 2003 Elsevier Science B.V. All rights reserved.

Airborne measurements of the spatial distribution of aerosol chemical composition across Europe and evolution of the organic fraction

The spatial distribution of aerosol chemical composition and the evolution of the Organic Aerosol (OA) fraction is investigated based upon airborne measurements of aerosol chemical composition in the planetary boundary layer across Europe. Sub-micron aerosol chemical composition was measured using a compact Time-of-Flight Aerosol Mass Spectrometer (cToF-AMS). A range of sampling conditions were evaluated, including relatively clean background conditions, polluted conditions in North-Western Europe and the near-field to far-field outflow from such conditions. Ammonium nitrate and OA were found to be the dominant chemical components of the sub-micron aerosol burden, with mass fractions ranging from 20--50% each. Ammonium nitrate was found to dominate in North-Western Europe during episodes of high pollution, reflecting the enhanced NO_x and ammonia sources in this region. OA was ubiquitous across Europe and concentrations generally exceeded sulphate by 30--160%. A factor analysis of the OA burden was performed in order to probe the evolution across this large range of spatial and temporal scales. Two separate Oxygenated Organic Aerosol (OOA) components were identified; one representing an aged-OOA, termed Low Volatility-OOA and another representing fresher-OOA, termed Semi Volatile-OOA on the basis of their mass spectral similarity to previous studies. The factors derived from different flights were not chemically the same but rather reflect the range of OA composition sampled during a particular flight. Significant chemical processing of the OA was observed downwind of major sources in North-Western Europe, with the LV-OOA component becoming increasingly dominant as the distance from source and photochemical processing increased. The measurements suggest that the aging of OA can be viewed as a continuum, with a progression from a less oxidised, semi-volatile component to a highly oxidised, less-volatile component. Substantial amounts of pollution were observed far downwind of continental Europe, with OA and ammonium nitrate being the major constituents of the sub-micron aerosol burden. Such anthropogenically perturbed air masses can significantly perturb regional climate far downwind of major source regions.

Timing and the holding periods of institutional real estate

Literature on investors' holding periods for securities suggests that high transaction costs are associated with longer holding periods. Return volatility, by contrast, is associated with shorter holding periods. In real estate, high transaction costs and illiquidity imply longer holding periods. Research on depreciation and obsolescence suggests that there might be an optimal holding period. Sales rates and holding periods for U.K. institutional real estate are analyzed, using a proportional hazards model, over an 18-year period. The results show longer holding periods than those claimed by investors, with marked differences by type of property and over time. The results shed light on investor behavior.

Simulating regional scale secondary organic aerosol formation during the TORCH 2003 campaign in the southern UK

A photochemical trajectory model has been used to simulate the chemical evolution of air masses arriving at the TORCH field campaign site in the southern UK during late July and August 2003, a period which included a widespread and prolonged photochemical pollution episode. The model incorporates speciated emissions of 124 nonmethane anthropogenic VOC and three representative biogenic VOC, coupled with a comprehensive description of the chemistry of their degradation. A representation of the gas/aerosol absorptive partitioning of ca. 2000 oxygenated organic species generated in the Master Chemical Mechanism (MCM v3.1) has been implemented, allowing simulation of the contribution to organic aerosol (OA) made by semi- and non-volatile products of VOC oxidation; emissions of primary organic aerosol (POA) and elemental carbon (EC) are also represented. Simulations of total OA mass concentrations in nine case study events (optimised by comparison with observed hourly-mean mass loadings derived from aerosol mass spectrometry measurements) imply that the OA can be ascribed to three general sources: (i) POA emissions; (ii) a '' ubiquitous '' background concentration of 0.7 mu g m(-3); and (iii) gas-to-aerosol transfer of lower volatility products of VOC oxidation generated by the regional scale processing of emitted VOC, but with all partitioning coefficients increased by a species-independent factor of 500. The requirement to scale the partitioning coefficients, and the implied background concentration, are both indicative of the occurrence of chemical processes within the aerosol which allow the oxidised organic species to react by association and/or accretion reactions which generate even lower volatility products, leading to a persistent, non-volatile secondary organic aerosol (SOA). The contribution of secondary organic material to the simulated OA results in significant elevations in the simulated ratio of organic carbon (OC) to EC, compared with the ratio of 1.1 assigned to the emitted components. For the selected case study events, [OC]/[EC] is calculated to lie in the range 2.7-9.8, values which are comparable with the high end of the range reported in the literature.

Mechanisms for the formation of organic acids in the gas-phase ozonolysis of 3-carene

This paper describes experimental studies aimed at elucidating mechanisms for the formation of low-volatility organic acids in the gas-phase ozonolysis of 3-carene. Experiments were carried out in a static chamber under 'OH-free' conditions. A range of multifunctional acids-which are analogous to those observed from alpha-pinene ozonolysis-were identified in the condensed phase using gas chromatography coupled to mass spectrometry after derivation. Product yields were determined as a function of different OH radical scavengers and relative humidities to give mechanistic information about their routes of formation. Furthermore, an enone and an enal derived from 3-carene were ozonised in order to probe the early mechanistic steps in the reaction and, in particular, which of the two initially formed Criegee intermediates gives rise to which products. Branching ratios for the formation of the two Criegee Intermediates are determined. Similarities and differences in product formation from 3-carene and alpha-pinene ozonolysis are discussed and possible mechanisms-supported by experimental evidence-are developed for all acids investigated.

Mechanisms for the formation of secondary organic aerosol components from the gas-phase ozonolysis of alpha-pinene

Gas-phase ozonolysis of alpha-pinene was studied in static chamber experiments under 'OH-free' conditions. A range of multifunctional products-in particular low-volatility carboxylic acids-were identified in the condensed phase using gas chromatography coupled to mass spectrometry after derivatisation. The dependence of product yields on reaction conditions (humidity, choice of OH radical scavengers, added Criegee intermediate scavengers, NO2 etc.) was investigated to probe the mechanisms of formation of these products; additional information was obtained by studying the ozonolysis of an enal and an enone derived from alpha-pinene. On the basis of experimental findings, previously suggested mechanisms were evaluated and detailed gas-phase mechanisms were developed to explain the observed product formation. Atmospheric implications of this work are discussed.

Dynamics of brand competition: Effects of unobserved social networks

Brand competition is modelled using an agent based approach in order to examine the long run dynamics of market structure and brand characteristics. A repeated game is designed where myopic firms choose strategies based on beliefs about their rivals and consumers. Consumers are heterogeneous and can observe neighbour behaviour through social networks. Although firms do not observe them, the social networks have a significant impact on the emerging market structure. Presence of networks tends to polarize market share and leads to higher volatility in brands. Yet convergence in brand characteristics usually happens whenever the market reaches a steady state. Scale-free networks accentuate the polarization and volatility more than small world or random networks. Unilateral innovations are less frequent under social networks.

Night-time tropospheric chemistry of the unsaturated alcohols (Z)-pent-2-en-1-ol and pent-1-en-3-ol: Kinetic studies of reactions of NO3 and N2O5 with stress-induced plant emissions

The night-time tropospheric chemistry of two stress-induced volatile organic compounds (VOCs), (Z)-pent-2-en-1-ol and pent-1-en-3-ol, has been studied at room temperature. Rate coefficients for reactions of the nitrate radical (NO3) with these pentenols were measured using the discharge-flow technique. Because of the relatively low volatility of these compounds, we employed off-axis continuous-wave cavity-enhanced absorption spectroscopy for detection of NO3 in order to be able to work in pseudo first-order conditions with the pentenols in large excess over NO3. The rate coefficients were determined to be (1.53 +/- 0.23) x 10(-13) and (1.39 +/- 0.19) x 10(-14) cm(3) molecule(-1) s(-1) for reactions of NO3 with (Z)-pent-2-en-1-ol and pent-1-en-3-ol. An attempt to study the kinetics of these reactions with a relative-rate technique, using N2O5 as source of NO3 resulted in significantly higher apparent rate coefficients. Performing relative-rate experiments in known excesses of NO2 allowed us to determine the rate coefficients for the N2O5 reactions to be (5.0 +/- 2.8) x 10(-19) cm(3) molecule(-1) s(-1) for (Z)-pent-2-en-1-ol, and (9.1 +/- 5.8) x 10(-19) cm(3) molecule(-1) s(-1) for pent-1-en-3-ol. We show that these relatively slow reactions can indeed interfere with rate determinations in conventional relative-rate experiments.

New high technology product development: The case of light emitting diodes

New high technology products usher in novel possibilities to transform the design, production and use of buildings. The high technology companies which design, develop and introduce these new products by generating and applying novel scientific and technical knowledge are faced with significant market uncertainty, technological uncertainty and competitive volatility. These characteristics present unique innovation challenges compared to low- and medium technology companies. This paper reports on an ongoing Construction Knowledge Exchange funded project which is tracking, real time, the new product development process of a new family of light emitting diode (LEDs) technologies. LEDs offer significant functional and environmental performance improvements over incumbent tungsten and halogen lamps. Hitherto, the use of energy efficient, low maintenance LEDs has been constrained by technical limitations. Rapid improvements in basic science and technology mean that for the first time LEDs can provide realistic general and accent lighting solutions. Interim results will be presented on the complex, emergent new high technology product development processes which are being revealed by the integrated supply chain of a LED module manufacture, a luminaire (light fitting) manufacture and end user involved in the project.

Depreciation, income distribution and the UK REIT

Purpose – The purpose of this paper is to consider prospects for UK REITs, which were introduced on 1 January 2007. It specifically focuses on the potential influence of depreciation and expenditure on income and distributions. Design/methodology/approach – First, the ways in which depreciation can affect vehicle earnings and value are discussed. This is then set in the context of the specific rules and features of REITs. An analysis using property income and expenditure data from the Investment Property Databank (IPD) then assesses what gross and net income for a UK REIT might have been like for the period 1984-2003. Findings – A UK REIT must distribute at least 90 per cent of net income from its property rental business. Expenditure therefore plays a significant part in determining what funds remain for distribution. Over 1984-2003, expenditure has absorbed 20 per cent of gross income and been a source of earnings volatility, which would have been exacerbated by gearing. Practical implications – Expenditure must take place to help UK REITs maintain and renew their real estate portfolios. In view of this, investors should moderate expectations of a high and stable income return, although it may well still be so relative to alternative investments. Originality/value – Previous literature on depreciation has not quantified amounts spent on portfolios to keep depreciation at those rates. Nor, to our knowledge, has its ideas been placed in the indirect investor context.

Real estate investment in global financial centers: risk, return and contagion

Global financial activity is heavily concentrated in a small number of world cities –international financial centers. The office markets in those cities receive significant flows of investment capital. The growing specialization of activity in IFCs and innovations in real estate investment vehicles lock developer, occupier, investment, and finance markets together, creating common patterns of movement and transmitting shocks from one office market throughout the system. International real estate investment strategies that fail to recognize this common source of volatility and risk may fail to deliver the diversification benefits sought.

American option valuation: implied calibration of GARCH pricing models

This study analyzes the issue of American option valuation when the underlying exhibits a GARCH-type volatility process. We propose the usage of Rubinstein's Edgeworth binomial tree (EBT) in contrast to simulation-based methods being considered in previous studies. The EBT-based valuation approach makes an implied calibration of the pricing model feasible. By empirically analyzing the pricing performance of American index and equity options, we illustrate the superiority of the proposed approach.

Analytic approximations for multi-asset option pricing

We derive general analytic approximations for pricing European basket and rainbow options on N assets. The key idea is to express the option’s price as a sum of prices of various compound exchange options, each with different pairs of subordinate multi- or single-asset options. The underlying asset prices are assumed to follow lognormal processes, although our results can be extended to certain other price processes for the underlying. For some multi-asset options a strong condition holds, whereby each compound exchange option is equivalent to a standard single-asset option under a modified measure, and in such cases an almost exact analytic price exists. More generally, approximate analytic prices for multi-asset options are derived using a weak lognormality condition, where the approximation stems from making constant volatility assumptions on the price processes that drive the prices of the subordinate basket options. The analytic formulae for multi-asset option prices, and their Greeks, are defined in a recursive framework. For instance, the option delta is defined in terms of the delta relative to subordinate multi-asset options, and the deltas of these subordinate options with respect to the underlying assets. Simulations test the accuracy of our approximations, given some assumed values for the asset volatilities and correlations. Finally, a calibration algorithm is proposed and illustrated.

Measuring the response of macroeconomic uncertainty to shocks

Recent research documents the importance of uncertainty in determining macroeconomic outcomes, but little is known about the transmission of uncertainty across such outcomes. This paper examines the response of uncertainty about inflation and output growth to shocks documenting statistically significant size and sign bias and spillover effects. Uncertainty about inflation is a determinant of output uncertainty, whereas higher growth volatility tends to raise inflation volatility. Both inflation and growth volatility respond asymmetrically to positive and negative shocks. Negative growth and inflation shocks lead to higher and more persistent uncertainty than shocks of equal magnitude but opposite sign.